The incident happened on the edge of the capital when police tried to stop two men on a motorcycle for a routine search.
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"All of a sudden the motorcycle riders opened fire on them, one police head-constable has been martyred," Muhammad Ziaul Qamar, a spokesperson for Islamabad police, told AFP.
Qamar said another policeman and a paramilitary soldier were wounded.
Police said they had launched a search operation to arrest the gunmen who fled the scene after the shooting.
Pakistan has been in the grip of a bloody homegrown Taliban insurgency since 2007 but there have been very few attacks in recent years in Islamabad.
Two policemen killed, two injured in K-P
Security in the capital, already on high alert, was tightened after a last month's deadly assault on a university in the country's northwest, in which 21 people were killed.
Pakistan launched a military offensive in 2014 that has reportedly killed thousands of militants and pushed the rest over the border to Afghanistan, resulting in improved security across the country.
But militants associated with Tehreek-e-Taliban Pakistan continue to occasionally carry out attacks from bases in Afghanistan.
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