Reports have suggested Gilani's son, Moosa, and Qamar Zaman Kaira, the federal minister for Kashmir and Northern affairs, were in the motorcade going to Islamabad's international airport to pick up the prime minister.
Gilani's spokesman Zahid Bashir said two bullets hit the reinforced glass window.
"By the grace of Allah the prime minister is safe," he said.
Rehman Malik, an adviser to the prime minister said investigations into the incident had begun and a preliminary report would be presented within 24 hours.
Tariq Khosa, a senior law enforcement official, is to lead the government investigation team.
Taliban claim attack
The Pakistani Taliban claimed responsibility for the attack, saying Gilani was responsible for offensives against their fighters in the northwest.
"We will continue such attacks on government officials and installations," said Muslim Khan, a spokesman for the group.
Hundreds of people have so far been killed in bomb attacks by the Pakistani Taliban and al-Qaeda fighters.
Gilani remains a potential, high-profile target even though he is protected by a massive security cover.
Security questions
Sherry Rehman, Pakistan's Federal Information Minister, denies the incident occurred owing to lapse in security, but Kamal Hyder, Al Jazeera's correspondent at the scene said "there was no doubt this was a lapse in security".
"The question is how the sniper was able to conceal himself and how he was able to make his escape.
"Reports suggest the sniper perched himself on a hilltop on the Islamabad highway from where he would have had a considerable vantage point on the convoy."
Mike Hanna, Al Jazeera's correspondent in Islamabad, said the prime minister was returning from a meeting in Lahore yesterday and was due to travel to his residence after arriving at Islamabad's airport.
"This was a highly-skilled sniping attempt, given the vehicles were moving at high speed," he said.
Gilani's Pakistan People's Party leader, Asif Ali Zardari, is standing for president in elections scheduled for September 6.