Banerjee, 49, was killed outside her home in Paktika province. She was married to Afghan businessman Jaanbaz Khan and recently moved back to Afghanistan to live with him. (Agencies)
Taliban militants arrived at her home in the provincial capital of Kharana, tied up her husband and other members of the family, took Banerjee out and shot her, police were quoted as saying.
The militants dumped Banerjee's body near a religious school, police said.
A senior police official said Banerjee, also known as Sayed Kamala, was working as a health worker in Paktika and had been filming the lives of local women as part of her work.
No group claimed responsibility for the attack. Banerjee's book "Kabuliwalar Bangali Bou" (A Kabuliwala's Bengali Wife), about her escape from the Taliban in 1995, became a bestseller in India and was made into the Bollywood film "Escape From Taliban" in 2003.
The memoir focussed on her life in Afghanistan with her husband and her escape from the militants.
The film based on the book starred actress Manisha Koirala and was billed as a "story of a woman who dares (the) Taliban".
Banerjee also wrote about her experiences in Afghanistan for a magazine. She went to Afghanistan in 1989 after marrying Khan, whom she met in Kolkata.
She wrote that "life was tolerable until the Taliban crackdown in 1993", when militants ordered her to close a dispensary she was running from her house, and "branded me a woman of poor morals".
She wrote that she escaped "sometime in early 1994" but her brothers-in-law tracked her down to the Pakistani capital, Islamabad, where she went to seek help from the Indian High Commission. They took her back to Afghanistan.
"They promised to send me back to India. But they did not keep their promise. Instead, they kept me under house arrest and branded me an immoral woman. The Taliban threatened to teach me a lesson. I knew I had to escape," she wrote.
Shortly after that, she tried to escape from her husband's home, three hours from Kabul.
"One night, I made a tunnel through the mud walls of the house and fled. Close to Kabul, I was arrested. A 15-member group of the Taliban interrogated me. Many of them said that since I had fled my husband's home I should be executed. However, I was able to convince them that since I was an Indian I had every right to go back to my country," Banerjee wrote.
"The interrogation continued through the night. The next morning I was taken to the Indian embassy from where I was given a safe passage. Back in Calcutta, I was re-united with my husband," she wrote.
Banerjee, 49, was killed outside her home in Paktika province. She was married to Afghan businessman Jaanbaz Khan and recently moved back to Afghanistan to live with him.