"I can confirm that a US government employee was killed in Johannesburg this morning. He worked at our US consulate in Johannesburg," said embassy spokesperson Jack Hillmeyer.
The man's name would not be released until the embassy had informed his family, he said.
The French news agency Agence France Presse reported that he had worked in the consulate's IT department.
Lieutenant Colonel Lungelo Dlamini said the 41-year-old man and a 29-year-old woman had arrived at a flat in Oxford Gardens, Illovo, at 03:00.
A guard later heard a woman screaming, went to investigate, and saw her with a knife in her hand. The man had been stabbed, he said.
The man died on the scene. Police arrested the woman and seized a knife, said Dlamini.
He said the motive for the murder was being investigated.
The woman would appear in the Johannesburg Magistrate's Court on Monday.