The perpetrator is on the loose, according to local authorities.
67-year-old Roberto Samcam went into exile in 2018 after his then home in Nicaragua was attacked by paramilitary forces.
The news of the murder on Thursday spread quickly among the hundreds of thousands of Nicaraguans who have taken refuge in Costa Rica after the regime-critical protests in Nicaragua in 2018, when nearly 30 people were killed.
Samcam had, among other things, participated in an initiative to collect testimonies about torture and had written critical texts about Ortega's path towards an increasingly authoritarian rule.
Last year, another Nicaraguan in exile, Joao Maldonado, was shot with seven bullets on the open street outside Costa Rica's capital San José. He survived and has accused Ortega's regime of being behind the attack.