"I can confirm that Nigar died in the emergency unit of the hospital this morning," provincial government spokesman Omar Zawak told AFP. "She died from a bad injury to her neck."
Nigar, who like many Afghans used only one name, was earlier expected to survive after she was shot on Sunday morning by gunmen who escaped by motorbike.
Nigar, 38, had worked for seven years in the police crime branch in Helmand province, a hotbed of the Islamist insurgency that was launched against the US-backed Kabul government after the fall of the Taliban in 2001.
She was the mother of a son and a daughter and was based at Lashkar Gah airport after reaching the rank of investigator.
The last senior police woman in Helmand, Lieutenant Bibi Islam, was seen as a high-profile symbol of how opportunities for women have improved in Afghanistan since the repressive Taliban regime was ousted.
But before her death, she admitted receiving regular death threats from people who disapproved of her career -- including from her own brother.