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No-one was hurt in the incident at the high-security Kabul compound of envoy Vygaudas Usackas, and it is not known whether the shooting was accidental or deliberate.
"One high-velocity round struck the bulletproof window of head of delegation and EU special representative ambassador Vygaudas Usackas' office," a statement from his office said. "No-one was hurt. The incident is under investigation."
It is thought that the shot was fired as Usackas was walking into his office, and that officials do not know who was responsible or where it came from.
Usackas, a former foreign minister of Lithuania, was appointed to his current role last year.