Anatoly Klyan, 68, was shot in the stomach when his film crew came under fire overnight after they went to film near a pro-Kiev military unit in the region, the channel said on its website on Monday. The trip was organised by pro-Russia rebels.
The statement said the journalists were accompanying a group of soldiers' mothers who were being driven to the unit "to meet their sons and take them home".
The bus carrying the mothers and the journalists withdrew after coming under fire as it approached the base.
Klyan died when a group of people came under further automatic rifle fire after leaving the bus, the channel said.
Russia has protested against the killings of its journalists, calling on Kiev to stop operations in Donetsk and the region of Luhansk, where separatists have seized state buildings and weapons arsenals.
On June 17, a Russian correspondent and a sound engineer for state television were killed by mortar fire in clashes near Luhansk, Reuters reported.