The victim "succumbed to his wounds following the armed attack by unidentified assailants" in Timbuktu, a statement said. A Nigerian peacekeeper was also injured.
UN Secretary-General Antonio Guterres was "deeply saddened" by the assault, which he said could amount to a war crime.
In a separate incident on Saturday, three Chadian peacekeepers were wounded when their mine-protected vehicle hit an improvised explosive device in Tessalit, in Mali's Kidal region.
UN peacekeeper killed in Mali mine explosion
The UN's MINUSMA mission was established in Mali after radical militant militias seized the north of the country in 2012. They were pushed back by French troops in 2013.
A peace agreement signed in 2015 by the Bamako government and armed groups was aimed at restoring stability. But the accord has failed to stop the violence.
Since their deployment in 2013, more than 190 peacekeepers have died in Mali, including nearly 120 killed by hostile action - making MINUSMA the UN's deadliest peacekeeping operation, accounting for more than half of blue helmets killed globally in the past five years.
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