The woman, who has not been named but was in her late 20s, was with her Ugandan companion when they were shot by attackers on Thursday, senior police commander in the port city Geoffrey Mayek said.
The Ugandan man was wounded and taken to hospital, but his condition was not life threatening.
"The German lady and the Ugandan man arrived in Mombasa on Thursday, they were to stay for two days," Mayek said.
Khalid Ibrahim, a community security official in Mombasa's historic Old Town, was one of the first on the scene after the shooting and said he had alerted police.
"Three men ran off after the attack," Ibrahim said, adding that the tourist had been shot once at point blank range.
No one has claimed responsibility for the shooting, but Kenya has been hit by a recent wave of attacks blamed on Somalia's Al-Qaeda-linked Shebab insurgents, as well as local armed gangs. Kenya also suffers from high levels of violent crime and robberies.
The shooting took place close to where a female Russian tourist was killed on July 6, also by unknown gunmen. Police blamed that attack on "normal thuggery".
Last month the Shebab, which has carried out a number of attacks on Kenyan soil in retaliation for Kenya's military intervention in Somalia, warned foreign tourists to stay out of Kenya.