The killer then turned the knife on himself in a failed bid to commit suicide.
Shocking images show the man writhing in agony while covered in blood on the floor as shoppers and the woman's distraught mother denounce him for his brutal act.
He then begged onlookers: 'Finish me off.'
The 23-year-old woman's body can be seen under a freezer in the grocery store. Witnesses said she had been stabbed 17 times.
The man, 26, had followed her into the shop in the oil-rich Russian city of Ufa, in Bashkortostan region.
Earlier he had waited for her near her house and she had tried to flee from him, according to neighbours.
Reports say her parents had been against a marriage between the pair because he had a criminal record.
He had approached her outside the shop with a bunch of flowers and asked her to marry him, but she refused, and said she wanted to end their relationship.
She then ran into the store shouting 'Help!'
He followed screaming: 'If I can't have you, no-one else will' before taking out a knife and stabbing her multiple times.
He then plunged the knife into his own chest.
'A man stabbed his girlfriend out of jealousy, because she refused to continue the relations with him,' said a statement from the Russian Investigative Committee, which deals with serious crime.
'The suspect is in hospital in a grave condition.' A murder case has been opened, the statement explained.