His death was officially announced by Prime Minister Wim Kok.
The 53-year-old politician, who led an openly gay lifestyle, was shot in the head, neck and chest, according to media reports. The attack came nine days before national elections, and opinion polls had predicted Fortuyn would lead one of the largest parties in parliament.
A policeman at the site told Reuters a man had been arrested in connection with the shooting, but declined to give details.
It was the first time in modern history that a Dutch political leader was assassinated. "These are things you thought were just not possible in the Netherlands," said Ad Melkert, new leader of the ruling Labor Party and its candidate for prime minister. "It's a low-point for our democracy."
Fortuyn had dictated debate during the campaign with verbal attacks on the country's growing Muslim population and strident criticism of the national government. He called Islam a "backward" culture and laid claim to leadership of the Netherlands' perennially vacant political right.
Fortuyn was leaving a 3FM radio network interview in Hilversum, about 10 miles southeast of Amsterdam, when he was attacked. He was heading for his car when gunned down. Television said paramedics treated Fortuyn where he fell at the entrance to a building, and he was not taken to hospital.
"I saw Pim Fortuyn lying on the ground with a bullet wound in his head," said television reporter Dave Abspoel.
Fortuyn's rise mirrors a right-wing resurgence in several European countries, lately highlighted by the anti-immigrant Jean Marie Le Pen's surprise showing in the first round of French presidential elections. He was soundly defeated in Sunday's run-off vote by incumbent Jacques Chirac.
Nevertheless, Fortuyn had dissociated himself from Le Pen and other European extreme right leaders.
Politicians from across the spectrum condemned the attack on a man who had sent shockwaves through the cozy consensual world of Dutch politics since setting up his "Pim Fortuyn list" party this spring.
Prime Minister Wim was "astonished and deeply shocked by the attempt on Mr. Fortuyn's life," a statement from the premier's office said.
"This is deeply tragic first of all for him and for all his loved ones .... It is also deeply tragic for our democracy."
A crowd gathered outside Kok's office in The Hague, including a group of young Fortuyn supporters.
"I'm an ordinary citizen who's deeply saddened by what's happened today. I feel like they killed my country today," drama student Alexei Genevois told Reuters.
A spokeswoman for Kok's PvdA (Labor) party -- the biggest in the ruling three-way coalition -- said party officials were meeting to discuss whether to continue their campaign for next week's election.
British Prime Minister Tony Blair condemned the shooting and canceled a visit to the Netherlands planned for Tuesday.
"We share the real sense of shock there will be in the Netherlands," Blair said in a statement. "Whatever feelings political figures arouse, the ballot box is the place to express them."
Belgian Foreign Minister Louis Michel, referring to Le Pen's success in France, said the political atmosphere in Europe was "already very delicate."
"This on top, is of course, very dangerous."
Fortuyn's platform seemed out of place in the Netherlands, which has a reputation for liberalism. It was the first country to legalize gay marriages, regulate prostitution, approve and control euthanasia, and tolerate the over-the-counter sale of marijuana in hundreds of "coffee shops."
Though tolerant of such subcultures, Fortuyn's popularity has exposed a deep vein of suspicion of immigrants in Europe's most densely populated country, about 2 million of whose 16 million people are not native Dutch. About 800,000 are Muslims.
Kok broke off campaigning in the western city of Haarlem.
Several political parties called for a halt in the campaign, but there was no immediate demand to postpone the vote. The head of the Liberal Party, VVD, Hans Dijkstal, stopped his party's campaign.
In the Netherlands, most political leaders travel without bodyguards, often using public transportation. The only exceptions were Kok, as head of government. Fortuyn, however, had his own bodyguards and his party headquarters in Rotterdam were always guarded.
Last March, his newly formed party stunned the nation by sweeping 35 percent of the vote in local elections in Rotterdam, a port city with a large immigrant population.
Police cordoned off Fortuyn's house in Rotterdam, where he often met supporters and gave interviews. Followers lay bouquets outside the house.
Fortuyn's hard-hitting campaign against immigration and what he called "the mess" created by Kok's eight-year coalition, dominated the campaign and refocused the issues.
Fortuyn had recently expressed fears for his safety. A few weeks ago, protesters threw cream pies laced with urine in his face.
British Prime Minister Tony Blair condemned the shooting and canceled a visit to the Netherlands planned for Tuesday