The Amnesty call came as the government in Maputo blamed the killing on militants who have waged a violent insurgency in the gas-rich Cabo Delgado province for the past three years.
"The authorities in Mozambique must immediately launch an independent and impartial investigation into the extrajudicial killing of a defenceless naked woman," Amnesty said.
The government had on Monday vowed to investigate the video killing.
But interior minister Amade Miquidade on Tuesday said the killers were jihadists dressed in uniforms "identical" to that of government troops.
"The video showing atrocities against a pregnant woman is propaganda by terrorists," he said in an audio statement.
"The video was made by terrorists ...to confuse the public and it is not the first time that this has happened," he said.
The video first circulated on social media on Monday, but was first shared privately on mobile phones on 7 September, the day it is suspected to have been taken, according to Amnesty.
It showed what appears to be government troops shouting and marching behind a woman stripped of her clothing before beating and shooting her 36 times.
"Campaign of denial"
Amnesty said the footage was yet "another gruesome example of the gross human rights violations and merciless killings taking place in Cabo Delgado by the Mozambican security forces."
According to analysis by Amnesty International, the yet unidentified woman was killed along a road in the small town of Awasse.
The executioners were heard shouting in Portuguese that she is a member of al-Shabaab, the name of shadowy jihadist group that has led a growing insurgency against the government since 2017.
Deprose Muchena, Amnesty's regional director for east and southern Africa, said the incident was consistent with the watchdog's recent findings of rights violations and crimes "committed by the Mozambican armed forces."
Human Rights Watch (HRW) researcher Zenaida Machado said the government had failed to keep the security forces in line.
"Instead ... what they invested on is a campaign of denial, a campaign of attacking groups like ours, activists and anyone who condemns the attitude and conduct of security forces," Machado said.
Military forces have been struggling to regain control of Cabo Delgado, which is home to one of Africa's biggest liquefied natural gas projects.
The jihadist violence has claimed more than 1,500 lives and displaced at least 250,000 people since 2017.