Unidentified gunmen shot Sheikh Daud Ali Hasan several times, inside an area of Somalia held by his own forces.
Sheikh Hasan was in charge of front-line operations in the town of Dhobley, near the Kenyan border.
Al-Shabab said it arrested several people and would bring them before a court, but did not identify them.
Rival Islamist groups in the vicinity, including Hizbul-Islam, have not said whether they were behind the killing.
A witness, Ahmed Daud, said: "At least three masked men armed with pistols shot Sheikh Daud Ali Hasan several times in the head and the chest as he was coming out of a mosque in Kismayo."
The BBC’s Mohamed Olad Hassan in Mogadishu says Hizbul-Islam fighters launched an attack in Dhobly hours after the assassination – and claimed they had killed number of al-Shabab militants.
Al-Shabab and Hizbul-Islam are fighting against the UN-backed, weak Somali government and the African Union soldiers.
They have fought together in the capital against government forces and the AU peacekeepers, but in the southern Jubba regions the groups continue to fight each other.
The dispute began last year when al-Shabab forcibly took control of Kismayo from Hizbul-Islam.
Source: BBC