The lioness was shot on Friday morning near the small town of Piet Plessis, Jerry Matebesi, spokesman for the provincial department of economic development, tourism and conservation, told AFP.
"A local farmer took the decision to shoot the lion after seeing it roaming near a residential area," Matebesi said.
"He felt it was posing risk and danger to the community."
Matebesi said that the authorities had been inundated with worried calls from inhabitants after the lioness escaped.
A ground-and-air search was launched on Wednesday after the animal escaped while being transported between game reserves in a crate on the back of a pickup truck.
According to Matebesi, the animal's owner is a lion breeder.