The bank employee was opening a bank safe with a colleague in Petaling Jaya, near Kuala Lumpur. With them was the bank's security guard.
The moment Ms Norazita Abu Talib, a mother of two, opened the safe, the guard shot her in the face with a gun.
She died on the spot.
The incident happened on Wednesday evening.
Ms Norazita is believed to have been shot from a distance of 5m, The Star reported.
The guard then filled a bag with money and fled the scene on a motorcycle, the report said.
It is not known how much money he took.
The New Straits Times reported that Ms Norazita had been an AmBank employee for the last 16 years.
Selangor deputy police chief Deputy Commissioner Abdul Rahim Jaafar said there were five employees in the bank, including the suspect, during the incident.
He said: "The security firm said the guard was meant to be a replacement and had worked in another bank before."