Today I started getting one shot by Sniper Hunters while inside of bunkers, churches, houses, etc.
The only option is to exit the game and re-spawn somewhere else.
Steps to reproduce, aggro any sniper hunter, go inside any building, get one shot.
On PC.
This has been a thing since release as far as im aware, wouldnt expect this to change any time soon tbh.
Sorry to tell you that they have been able to do this in various locations for over a year
Maybe they’re using .88 Magnums.
I love/hate the sniper hunter since it was introduced. You don’t know they are there till the first shot and then it is cat and mouse till you find it, then destroy it. And it is the only option if you want to stay in the game.
Had a pair of them keeping us, all 4 players, pinned down in trenches of an old battlefield after taking down a reaper. They were picking us off one by one till one of them made the mistake of showing itself. Wasn’t long before we found the other one. Oh, one more option, keep moving.
I never get shot through walls by hunters. A tank or harvester rocket barrage does get me sometimes, and so do the soviet machines. But it doesn’t bother me at all. I like it if they do.
Getting shot through walls happens to me time to time, mostly in barns and houses but on rare occasions when behind harder cover.
But like @Jockross said, this have been in the game for a long long time.
Ps. I play on Steam, PC
I’d rather take on sniper Hunters than a pack of Apoc doggos anyday. 
I find that sprinting sideways to their attempts to fire at you makes them miss - just make sure you aren’t near an object that they can hit, because it seems there is some pretty significant splash damage if they even hit near you.
After the first shot, once I become aware there is a sniper Hunter, I will usually stay on the move, look around, never stand still for more than a second until you manage to spot it. Keep looking in different directions for that telltale red laser glint that you should eventually see. But for the love of all that is holy, do not stand still and try to spot it! 
Good gaming!
If I spot enemy machines I usually at first look out for sniper hunters and shoot their rifle off of their shoulders. Just one or two hits with my exp pvg.
And in general I spot the machines earlier than they spot me.
Turn off the ingame music, use headphones and keep your ears and eyes open.
There are not many situations where I get surprised by the machines or where I accidently run into an ambush.
One of my personal special abilities is hunting seekers in the open range of farmlands, hundreds of meters away. It’s this little movement somewhere at the horizon that attracts me. Spotted, scoped, sniped.
I learned, that hiding in houses while in battle with hunters is a bad idea in general. While I don’t have many problems with snipers in this situations, I hate the ones with gas grenades.
Btw, the sniper hunters in general don’t shoot through the structures, but through windows for example. And they don’t have to hit you for hurting you. It’s like you said: keep an eye on what is next to you, because the splash damage of the impact is the dangerous one.
I think its the fact that they are causing an explosion and thats going through the cover. If I stand about 3 meters back from the the cover I am hiding behind, I don’t take any damage when they shoot.