The policeman was shot by unknown gunmen as he rode his motorcycle home in Narathiwat province, one of three southern provinces where authorities are on alert for possible attacks ahead of a key Buddhist holiday.
"One policeman was shot dead by two bandits riding motorcycles. We want everybody to be on high alert," a report on a police radio station said.
A police official in Ra-Ngae district in Narathiwat province confirmed the policeman, Sakchai Sae-Mod, was killed.
At least 200 people have died since January in a flare-up of separatist violence in Thailand's southernmost provinces that had been dormant for two decades.
Thaksin, whose nearly four-year-old government is facing its biggest security test, said on Saturday halting the unrest would take time, but the situation was improving.
"As a whole, the situation is getting better because bandits have surrendered to the government. We train them, give them opportunities...and let them go back to work and take care of their families," he said in his weekly radio address.
But less than four hours after Thaksin's radio speech, the officer was killed, and six hours later a bomb exploded on a dirt road in a village in Ra-Ngae district, police said.
"The bomb was planted to hurt patrolling officers on that road, but luckily no one was hurt there," a police investigator told Reuters by telephone from the scene.
Thaksin (R) maintains the
situation is improving
Saturday's shooting and blast came ahead of the Visakha Puja Day holiday on 2 June.
The Nation newspaper quoted Royal Thai Army spokesman Colonel Akara Tipparoj as saying an alert was issued because previous incidents had occurred during holiday periods.
Bomb blasts at three Buddhist temples in Narathiwat earlier this month threatened to escalate tensions between Buddhist Thailand and its Muslim minority, who make up 10% of the country's 62 million population.
Many within the predominantly Muslim local community were outraged at what they said was an excessive use of force on 28 April when soldiers and police stormed a historic mosque in the town of Pattani and killed 32 Muslims allegedly hiding inside.