Aziz spoke on national TV Sunday from his hospital bed in Mauritania to reassure the public he was in good health. He said the shooting was an accident when his convoy approached a military barracks by an unpaved road north of Nouakchott.
The president's adviser said Aziz was going to Paris for further treatment.
Mauritania's Minister of Communication had said that Aziz was shot in the arm on Saturday. Reports in local media indicated the military unit had not been told of the president's trip.
Mauritania has been destabilized by an al-Qaida affiliate, which has launched attacks from neighboring Mali.