Witnesses watched quietly as the Islamists executed the two by pelting them with rocks in Aguelhok town Sunday.
"I don't know how many rocks they threw or for how long it went on before they were both dead. No one dared to try and stop the Islamists," said Haman Maiga, a resident who witnessed the stoning.
The woman had two small children, a boy and a girl.
A leader of a radical Islamic group said Sharia law condemns relationships outside marriage.
"The man and the woman, who were both married to other people, were having an affair," said Aliou Toure, the Islamist commissioner in Gao.
"They were stoned to death, the punishment for infidelity, according to Sharia, Islamic law," he said.
The stoning was the first reported Sharia killing since Al Qaeda-linked Islamists took control of the north.
Islamists have imposed a harsh form of Sharia law that bans drinking, music and sports on television.