The soldier, who was Egyptian, died in an attack carried out by "armed elements affiliated with the anti-Balaka movement," the UN peacekeeping mission MINUSCA said.
Anti-Balaka was nominally Christian militias organized in response to the bloody sectarian violence unleashed by Muslim-majority Seleka rebels in 2013.
Mired in poverty but rich in minerals, CAR has been battered by a three-year conflict between the rival militias that began after then-president Francois Bozize was overthrown.
During the attack on Sunday near the southern town of Gambo, three other peacekeepers were wounded and five attackers were "neutralized", MINUSCA said.
The attack happened while a MINUSCA convoy was making a run to reinforce a base.
The soldier's death rises to 13 the number of peacekeepers killed in attacks in CAR this year