"Last night our cameraman (Channel One) Anatoly Klyan was killed in the city of Donetsk," Xinhua quoted Russian Channel One as saying.
The film crew was on a reporting trip to a military unit travelling by a bus.
However, the bus came under shelling as it was approaching the unit.
Klyan, 68, was injured when the passengers left the bus and tried to escape.
Russia's foreign ministry has demanded that Ukraine investigate the incident.
"The Russian journalist's death proves that the Ukrainian law enforcement authorities do not want to de-escalate the armed conflict in eastern Ukraine and are hampering the truce," the ministry said.
This is the third case of journalists being killed in the deadly conflict in eastern Ukraine between insurgents and government troops.
Two Russian journalists from the All-Russia State Television and Radio Company (VGTRK) were killed June 17, while an Italian photographer and his translator were killed last month.