Freed Italian journalist Giuliana Sgrena has been hurt by US troops firing at a car taking her to Baghdad airport soon after her release.
Giuliana Sgrena was interviewing people when she was abducted
An Italian secret service agent was killed in the shooting at a checkpoint.
Italian Prime Minister Silvio Berlusconi summoned the US ambassador demanding an explanation for what he called "such a serious incident".
The US military in Baghdad confirmed that forces shot at a vehicle and said an investigation had been launched.
"About 2100 [1800 GMT], a patrol in western Baghdad observed the vehicle speeding towards their checkpoint and attempted to warn the driver to stop by hand and arm signals, flashing white lights, and firing warning shots in front of the car," it said in a statement.
"When the driver didn't stop, the soldiers shot into the engine block, which stopped the vehicle, killing one and wounding two others."
Mr Berlusconi, a staunch supporter of the US-led invasion of Iraq, said there were "disquieting questions" that needed to be answered.
"We are petrified and dumbfounded by this fatality," he said of the death of the agent, named as Nicola Calipari.
Mr Calipari died trying to shield Ms Sgrena with his body when they came under fire, Mr Berlusconi said.
"It is a pity. This was a joyful moment which made all our compatriots happy, which has been transformed into profound pain by the death of a person who behaved so bravely."
Ms Sgrena had a minor operation to extract shrapnel from her shoulder and a second agent was reported injured.
Earlier, a video was broadcast on the Arabic al-Jazeera satellite network showing an apparently healthy Ms Sgrena thanking her captors for the way they treated her.
A little-known militant group, Islamic Jihad Organisation, had said it kidnapped her and demanded that Italy withdraw its troops from Iraq.
The same group said in September it had killed two Italian aid workers, Simona Torretta and Simona Pari, who were later released by another organisation.
Ms Sgrena's colleagues cheered the initial news of her release
Two weeks ago, Ms Sgrena appeared in a video begging for help and urging foreign troops to leave Iraq.
In the emotional footage, a tense and tearful Ms Sgrena said: "You must end the occupation, it's the only way we can get out of this situation. I'm counting on you."
Shortly after the video appeared, the Italian Senate voted to extend the country's military presence in Iraq.
It has been suggested that the video was released to coincide with the vote.
Many foreigners have been kidnapped by Iraqi militants, usually demanding the withdrawal of foreign troops or companies associated with the US-led invasion of the country.
Some have been killed, while others have been released. Many more Iraqis have been kidnapped, usually for ransom.
Florence Aubenas, a reporter with the French Liberation newspaper, is still being held in Iraq.
Her mother criticised the French government on Wednesday, saying that internal squabbles were hampering attempts to secure her release.
Ms Sgrena is the eighth Italian to have been taken hostage.
An Italian journalist and Red Cross aid worker, Enzo Baldoni, was kidnapped last August and killed by a group calling itself the Islamic Army in Iraq.
Four Italians were taken hostage in Iraq in April. One of them, civilian security guard Fabrizio Quattrocchi, was later shot dead by his captors, while three were released.