Al-Mahdi, who often criticized the Iraqi government on his radio show "To Whoever Listens," was shot Thursday, The Washington Post reported.
There was no sign of forced entry at his home and it seemed that al-Mahdi had laid out tea for his killer, investigators said.
Al-Mahdi, 45, had been publicizing a protest scheduled Friday in Baghdad's Tahrir Square dubbed "9/9."
Friends of al-Mahdi said he had sent e-mails to supporters in recent weeks, telling them he feared for his life.
On Thursday, he nearly predicted his own death in a Facebook post.
"I have lived the last three days in a state of terror. There are some who call me and warn me of raids and arrests of protesters. There is someone saying that the government will do this and that. There is someone with a fake name coming on to Facebook to threaten me," al-Mahdi said in the post.
Two months ago, al-Mahdi quit doing his radio show for safety reasons.
International rights group Human Rights Watch released a statement condemning al-Mahdi's killing.
"The killing of Hadi al-Mahdi sadly highlights that journalism in Iraq remains a deadly profession," wrote Joe Stork, deputy Middle East director at Human Rights Watch. "After more than six years of democratic rule, Iraqis who publicly express their views still do so at great peril."