Karam Fayyad, 26, was killed east of the city of Khan Younis, health ministry spokesman Ashraf al-Qidra said. Eight other Palestinians were wounded by Israeli fire during Friday's protests, he added.
Around 5,000 Palestinians demonstrated for the 40th consecutive Friday along various parts of the border between Gaza and Israel, a spokeswoman for the Israeli army said.
In a statement, Gaza's National Authority for Breaking the Siege urged Palestinians to take part in the ongoing rallies, staging Friday's protest under the banner "We will not forsake our right to live in dignity".
Protesters are calling for Palestinian refugees to be allowed to return to their former homes now inside Israel. They also demand an end to Israel's 12-year blockade of the Gaza Strip, which has gutted the coastal enclave's economy and deprived its roughly two million inhabitants of many basic commodities.
At least 240 Palestinians have been killed since the demonstrations began.