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The woman -- named by the Zimbabwe Online Press as Emily Chiota -- died in hospital on Saturday morning, spokeswoman Captain Kim Cloete said.
Last Tuesday Chiota, accompanied by a police officer, went to her estranged husband Justine's house to deliver a protection order.
He opened fire on them, wounding his wife in the upper body and narrowly missing the policeman, before turning the gun on himself.
Justine Chiota was the founding member of the Zimbabwe People's Party.
On Tuesday, Lt-Col Lungelo Dlamini said the protection order related to domestic violence.