The woman, named locally as Banu Negar, was said to be killed in front of her husband and children at the family home in Firozkoh, central Ghor province.
It is the latest incident of violence committed by the jihadi regime amid increasing reports of rising repression of women in Afghanistan.
The Taliban claimed they were not involved in the killing of Ms Negar, who was reportedly six months pregnant and mum to a young son.
Spokesperson Zabiullah Mujaheed told the BBC: “We are aware of the incident and I am confirming that the Taliban have not killed her, our investigation is ongoing.”
Mr Mujaheed put the policewoman’s murder down to “personal enmity or something else” adding that the Taliban had already confirmed amnesty for people who worked for the previous administration.
Leading Afghan journalist Bilal Sarwary, local media and the BBC reported Ms Negar’s apparent murder at the hands of the Taliban.
Witnesses told the BBC that the Taliban beat and shot Ms Negar, while others are scared to speak out for fear of retribution.
Images on social media appear to show her body lying on the floor with her face disfigured.
A civil activist in Ghor told Etilaatroz that the officer had been working at the provincial prison before the area fell to the Taliban.
Mr Mujahid’s secretary Bilal Karimi echoed that the Taliban had pardoned those who had worked with the former administration, the news outlet reported.
The Taliban took power in Kabul on August 15 after the Western-backed government collapsed and President Ashraf Ghani fled the country.
Protests have taken place in the country including a women’s rights demonstration in Kabul which was broken up by Taliban officials.
It comes after the group said it has changed and that they will protect women’s rights and create inclusive government.
One Afghan asylum seeker in London said he is scared to call home fearing his family will face Taliban reprisals in Kabul.
Officials say at least four planes chartered to evacuate several hundred people seeking to escape the takeover have been unable to leave the country for days.
Britain’s last military flight left Kabul late on August 28 after evacuating more than 15,000 people in the two weeks.
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