Mr Carmona fled to the Colombian ambassador's residence in Caracas last week after a court ordered him to be transferred to prison.
He had been under house arrest, accused of rebellion and usurping the presidency.
Mr Carmona denies the charges, saying he was asked by the Venezuelan military to form a transitional government.
He took power for just 48 hours after violent anti-government protests resulted in 17 deaths.
News that he had been granted political asylum came in a short statement from the Colombian foreign ministry, released on the same night as right-winger Alvaro Uribe was elected Colombian president.
It did not say when he would be flown from Venezuela to Colombia.
Colombian Foreign Minister Guillermo Fernandez de Soto said the decision was taken "after careful consideration" and "in accordance with the norms of international law".
Correspondents say the decision by Colombia threatens to strain relations between the two South American neighbours.
Supporters celebrate
Venezuela's Foreign Minister, Luis Alfonso Davila, has criticised the decision.
He said the fugitive businessman was not facing death or being politically persecuted, but was under investigation for a criminal charge.
Mr Davila added that the Venezuelan Government had yet to decide whether to grant safe conduct for Mr Carmona to leave the country.
"We will make known in due time the decision of the Venezuelan Government," he said.
This appeared to contradict earlier comments made by Vice President Jose Vicente Rangel, who said Venezuela would not object if Colombia granted Carmona asylum.
"Venezuela respects international treaties. We are obliged to, under the asylum laws," Mr Rangel said last Friday.
A group of Mr Carmona's supporters celebrated the decision outside the Colombian ambassador's residence in Caracas, singing the national anthem and waving Venezuela's red, blue and yellow flag.