"Two guys entered the house and demanded cellphones, money and other valuables," provincial Community Safety official Sizakele Nkosi-Malubane told reporters at the scene.
"Senzo tried to protect Kelly because one of the men had a gun pointed towards her."
Police on Sunday said two men entered Khumalo's house about 8 pm local time (1800 GMT). A third waited outside the house and all three fled immediately after the shooting.
Meyiwa was declared dead on arrival at hospital, the police added.
South Africa coach Ephraim Mashaba comforted several of Meyiwa's team mates who arrived at the hospital not long after the shooting.
"We can assure all South Africans that we will do all we can to bring Meyiwa's killers (to) book," the South African Police Servicer said on its Twitter account, offering a reward of R150,000 (USD13,700).
Meyiwa captained South Africa in their last four matches in the African Nations Cup qualifiers without conceding a goal and played on Saturday when his club advanced to the semi-finals of the South African League Cup.
"This is a sad loss which ever way you look at it -- to Senzo's family, his extended family, Orlando Pirates and to the nation," Pirates chairman Irvin Khoza said in a statement.

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