Caruana Galizia filed a police report two weeks ago saying she was receiving threats, law enforcement officials told Malta news outlets on Monday.
Muscat spoke out swiftly to denounce the killing, calling it a "barbaric attack" on free press. He said he has asked the US government and FBI for help investigating the car bombing.
Her murder drew condemnation from across the political spectrum.
"Daphne played a vitally important role in unearthing serious allegations of money laundering and corruption in Malta, including those involving senior figures in the Maltese government," said Sven Giegold, a Greens member in the European Parliament.
European Parliament President Antonio Tajani in a tweet called the development a "tragic example of a journalist who sacrificed her life to search for the truth."
The Panama Papers is a global investigation that began with a leak from the company formation agent Mossack Fonseca to the German newspaper Suddeutsche Zeitung.
The International Consortium of Investigative Journalists (ICIJ) then gave access to the leak to about 100 selected media organisations across six continents.
Stories focused on the use of offshore firms by a global elite, including country leaders and former UK prime minister David Cameron's father, to stash their wealth.
Offshore companies provide a way to anonymously hold assets, especially when layered through multiple high-secrecy jurisdictions or combined with vehicles such as trusts.
More than 300 journalists worked on the project, which later won the Pulitzer Prize for explanatory reporting.
