Dayow Mohamed Hassan, 44, was buried neck-deep and pelted to death with stones by al-Shabab fighters.
He was convicted of being in an adulterous relationship with a woman and impregnating her, despite having two wives, an official said.
Al-Shabab occasionally passes such sentences for sexual offences in areas it controls in Somalia.
In 2014, a teenage boy was stoned to death after being convicted of raping a woman.
In 2008, a young girl was killed in a similar manner after being convicted of adultery.
In the latest case, a  woman filed a complaint of rape against Hassan, but the court tried him for adultery as it is easier to prove, says BBC Somali's Mohamed Mohamed.
Hundreds of people watched him being stoned death in Ramo Adey village in the south-central Bay region, said Moalim Geedow, the al-Shabab governor for the area.
"The man had a third woman who was a divorcee... He deceived her, saying that he went to a sheikh [religious leader] and that he married her," Mr Geedow told Reuters news agency.
"However, when the woman got pregnant, the two families debated and there was no trace of valid matrimony. The court ruled he did not marry her legally and he was stoned to death."
Al-Shabab is fighting to overthrow the weak UN-backed government in Somalia and impose its own strict interpretation of Islamic law.
It has lost control of many towns and cities to a 22,000-strong African Union force supporting the government.
But the group, linked to al-Qaeda, still has a strong presence in many rural areas.
Somali militants have stoned a man to death after an Islamic court convicted him of adultery.