Forces have been in the country trying to calm months of unrest between the two faiths, which has sent thousands of people fleeing.
Officials say a UN convoy was attacked in the capital Bangui, which also left another soldier severely injured while seven others had minor injuries.
It is the first death since the troops arrived.
The Central African Republic has been struggling to keep fighting between the faiths under control and it is thought at least 5,000 people have been killed.