One presidential candidate said the mayor was deliberately targeted in an effort to destabilize the entire city of Kharkiv, a hub of 1.5 million people.
Armed insurgents tacitly backed by Moscow are seeking more autonomy in eastern Ukraine, and possibly even independence or annexation with Russia.
Ukraine's acting government and the West have accused Russia of orchestrating the unrest, which they fear Moscow could use as a pretext for an invasion.
The US also revoked licenses for some high-tech items that could be used by the Russian military.
In Brussels, the European Union moved today to add 15 more officials to its Russian sanctions list to protest Moscow's meddling in Ukraine.
That decision, reached by the ambassadors to the EU's 28 nations, was being formally confirmed by the EU's governments, officials told The Associated Press.
In the eastern city of Donetsk, about 1,000 demonstrators carrying Ukrainian flags marched through the streets to hold a pro-Ukrainian rally Monday night. They were attacked by several hundred armed men shouting "Russia!"
Hennady Kernes, the mayor of Kharkiv, was shot in the back this morning while cycling on the outskirts of the city, his office said. He underwent surgery and was reported by the hospital to be in "grave but stable" condition.
Officials have not commented on who could be behind the attack on the mayor, but Kernes was a man who could have angered both sides.
Kernes' friend and former Kharkiv governor, Mykhailo Dobkin, told journalists the attackers had aimed at Kernes' heart and wanted to kill him to destabilize the city
Dobkin is among several candidates running in Ukraine's May 25 presidential election, which the interim government says Russia is trying to derail.