An Associated Press reporter saw two dead bodies with police uniforms lying on the street in downtown Makhachkala, the capital of the troubled Caspian Sea region of Dagestan.
Armed police, firefighters and paramedics rushed to the scene. Dazed residents milled about, watching as workers swept broken glass from the street.
Akhmed Magomedov, a city police officer at the scene, said on Saturday that a six-man police patrol had been walking past a grove of trees when a remote-controlled explosive device went off, around 4pm. He said four of the officers were wounded.
City police spokeswoman Marina Rusolova said, however, that one of the wounded officers died en route to the hospital.
The blast occurred not far from a banquet hall where a wedding was taking place, but it was unclear whether the wedding was the target.
Near-daily attacks on police and authorities in Dagestan have raised fears that violence is spreading from neighbouring Chechnya, where Russian forces have been battling separatist rebels. Some of the violence is believed to be linked to criminal gangs.
Makhachkala is 1600km south of Moscow.