Sgrena was wounded and an Italian secret service agent who secured her release was killed.
Italian Prime Minister Silvio Berlusconi, a close ally of US President George Bush, said he was stunned by the shooting and had summoned the US ambassador to explain the shooting as the freed reporter was being driven to Baghdad airport.
"We were turned to stone when the officials told us about it on the telephone," Berlusconi said.
"I immediately summoned the US ambassador ... who will have to clarify the behaviour of the US military for such a serious incident, which someone will have to take responsibility for."
Held captive since 4 February, Sgrena was freed and handed over to three Italian agents on Friday who drove her towards the airport, but the car came under US fire at a checkpoint.
Nicola Calipari, the Italian secret service agent who negotiated Sgrena's release, was killed.
"The agent, Nicola Calipari covered Sgrena with his body, he was hit by a bullet which unfortunately was fatal," Berclusconi said.
All three other passengers were wounded. Sgrena was treated for a shrapnel wound in her shoulder at a US military hospital.
The freed Italian journalist's
convoy was fired on
Embarrassed by the incident, US President George Bush telephoned Berlusconi to express regret.
"This was a call to reacch out to a good friend and express our regret about the incident," White House spokesman Scott McClellan said.
"The president assured Prime Minister Berlusconi that it would be fully investigated ... . We're cooperating closely with Italian authorities."
The US Defence Department said multinational forces had fired at the car when it approached a checkpoint at high speed, only later discovering who its occupants were.
In a statement released by the Army's Third Infantry Division in Baghdad, the US military said US soldiers killed one civilian and wounded two others when their vehicle "travelling at high speeds refused to stop at a checkpoint".
"About 9pm [1800 GMT], a patrol in western Baghdad observed the vehicle speeding towards their checkpoint and attempted to warn the driver to stop by hand and arm signals, flashing white lights, and firing warning shots in front of the car," according to the statement.
The killing of the Italian agent
soured celebrations in Rome
"When the driver didn't stop, the soldiers shot into the engine block, which stopped the vehicle, killing one and wounding two others," the statement added
An anguished Berlusconi said he personally knew Calipari who had worked on previous hostage release cases in Iraq and that the agent's wife worked in his Palazzo Chigi office.
"He was an extraordinary man, a man who gave me the certainty that Giuliana would come home. When I learned he had been killed by American soldiers ... I felt a pain which for a moment overshadowed the joy of Giuliana's liberation," the prime minister said.
A US ally, Italy has some 3000 troops in Iraq - the fourth largest foreign contingent after US, British and South Korean forces.