The agency says Helge Boes was killed when a grenade detonated prematurely during a live-fire exercise.
Two other CIA officers were injured, but the extent of their injuries isn't known. They weren't identified.
Officials say the training was in preparation for an unspecified intelligence collection operation.
Boes is the second CIA officer to die in the line of duty in Afghanistan. The first, Johnny Micheal Spann, was killed during an uprising of Taliban and al Qaeda prisoners in northern Afghanistan in November 2001.
CIA officials say they could publicly acknowledge Boes' identity after they determined its release wouldn't compromise any intelligence operations. His family also agreed to the release.