Abas Hussein Abdirahman, 33, was killed in front of a crowd of some 300 people in the port town of Merka.
An official from the al-Shabab（沙巴布，青年党） group said the woman would be killed after she has had her baby.
Islamist groups run much of southern Somalia, while the UN-backed government only control parts of the capital.
This is the third time Islamists have stoned a person to death for adultery（通奸） in the past year.
Al-Shabab official Sheikh Suldan Aala Mohamed said Mr Abdirahman had confessed to adultery before an Islamic court.
"He was screaming and blood was pouring from his head during the stoning. After seven minutes he stopped moving," an eyewitness told the BBC.
The BBC's Mohammed Olad Hassan in Mogadishu says that if the woman is also killed, her baby would be given to relatives to look after.
Meanwhile, President Sheikh Sharif Sheikh Ahmed has accused al-Shabab of spoiling the image of Islam by killing people and harassing（困扰，烦恼） women.
"Their actions have nothing to do with Islam," said the moderate Islamist during a ceremony at which he nominated a new administration for the capital, Mogadishu.
"They are forcing women to wear very heavy clothes, saying they want them to properly cover their bodies but we know they have economic interests behind - they sell these kinds of clothes and want to force people to buy them."
Last month, two men were stoned to death in the same town after being accused of spying.
A 13-year-old girl was stoned to death for adultery in the southern town of Kismayo last year.
Human rights groups said she had been raped.
Another man has also been punished in this way in the Lower Shabelle region.
Mr Sharif, a former rebel leader, was sworn in as president after UN-brokered peace talks in January.
Although he says he also wants to implement（落实，实现） Sharia, al-Shabab says his version of Islamic law would be too lenient（宽大的，仁慈的）.
The country has not had a functioning national government for 18 years.
