Harper says in a statement that Craftsman Kyle Sinclair succumbed to injuries suffered in the incident.
"This incident is another painful reminder of the sacrifice that our brave men and women in uniform face daily in the defence of our nation's freedoms and liberties, both at home and abroad." Harper said.
Canadian Forces spokesman Lt. Jean-Francois Carpentier says the incident occurred Friday night but wouldn't offer any other details, citing a military investigation.
He says the 27-year-old had been with the military since December 2012.
A statement from the military said that at the time of the incident, Sinclair was on a training program with The Royal Canadian Dragoons and belonged to 2 Service Battalion.
Defence Minister Rob Nicholson also issued a statement offering his condolences.
"The loss of any member of the Canadian Armed Forces is tragic," Nicholson said.
"An investigation will be conducted into the circumstances surrounding this incident to ensure that every precaution is taken to protect the safety and security of our soldiers."