The man and woman were arguing near the main entrance of the complex when the man shot her, police officer James Polite said. The armed man was then shot by a CNN security guard.
The woman was pronounced dead on arrival at a hospital, authorities said. The man was in critical condition.
The woman, who worked at a hotel attached to CNN Center, was Clara Riddles, 22, of College Park, said Caryn Kboudi, a spokeswoman for the Texas-based Omni Hotel chain.
Polite described the man as the woman's ex-boyfried. Kboudi said that she did not know what Riddles did at the hotel, and that the hotel was not aware of any of the woman's domestic troubles.
The victims were seen being carried out of the building on stretchers. The man's face was covered in blood and his shirt was removed.
CNN reported that the offices of its Internet operations, CNN.com, were immediately evacuated. Video footage also showed police pointing guns at a man lying on the ground at the bottom of an escalator inside the building.
An announcement over the building's public-address system said there had been gunfire "with potential casualties." Police cordoned off an area by the escalators near the main entrance, facing Centennial Olympic Park.
The park was the site of a bombing that killed a woman and injured more than 100 people during the 1996 Summer Olympics.
"I heard four or five shots. I really didn't see it. I got out of there quick," said Jas Stanford, 27, who had been helping take down a temporary stage in the park used for college basketball's Final Four festivities.
Besides the Omni Hotel, the CNN complex also includes a large atrium and a food court. It is connected to Philips Arena, the home of the NBA's Atlanta Hawks.
In the food court, Trina Johnson, 44, of Atlanta, was with her daughter on a family outing.
"All of a sudden we heard a big boom. We thought it was an explosion," Johnson said. "We didn't see the gun. Everybody just started running."
Soon afterward, CNN coverage of the shooting was being shown on large-screen televisions inside the atrium, near where the shooting had taken place.
On Monday, a woman was shot and killed at the University of Washington in Seattle by an ex-boyfriend on whom she had sought a restraining order, police said. The man killed himself afterward.