Austin Okwor is reported to be part of a team investigating corruption within the judiciary. He is being treated in hospital for his wounds.
The attack happened in Port Harcourt on Saturday night, the Economic and Financial Crimes Commission said.
Last year several judges were arrested on suspicion of corruption in a nationwide sting operation.
President Muhammadu Buhari has prioritised the fight against corruption but critics say his administration has targeted only his political rivals.
Mr Okwor was surrounded by a gang who opened fire on him, Nigeria Bulletin reports.
Economic and Financial Crimes Commission spokesman Wilson Uwujaren said Mr Okwor had received threatening text messages in recent months.
"This incident underlines the hazards which operatives of the commission are daily exposed to in the discharge of their duties," Mr Uwujaren said in a statement.
In April President Buhari's office ordered an investigation after the head of the national intelligence agency was suspended over corruption allegations.
The president acted after anti-corruption officers found more than $43m (Â£34m) in a flat in the main city, Lagos.
A leading anti-corruption investigator in Nigeria has survived being shot multiple times, officials say.