In a statement, the media advocacy group said Bahadarzai, who worked for the Melma Radio station, was found dead near his home in eastern Afghanistan's Paktika Province late on February 21 or early on February 22.
Several reports said he had been decapitated, while one Afghan daily, Pajhwok Afghan News, reported he had been stabbed and shot in the head.
Police are reportedly investigating whether his death was linked to a telephone call he received on February 21 by unidentified men who requested a meeting.
The Taliban has denied responsibility for the murder.
The CPJ said 21 journalists have been killed in Afghanistan since the U.S.-led invasion in 2001.