After the shooting at about 4 a.m. local time, Trinity Gay was taken in a private vehicle to a local hospital where she was pronounced dead, the Lexington Police Department said in a statement.
Police said they have detained two people for questioning in connection with the incident. A homicide investigation is underway.
Gay, 34, became a world sprint champion in 2007 and set the U.S. 100 meters record two years later. He made his Olympic debut in 2008, and remains one of the all-time fastest runners.
Gay represented the U.S. at the 2012 London Olympics, winning a silver medal with the 4x100 meters relay team but he lost the medal after testing positive for a banned substance in 2013.
Condolences from the track and field world poured in on social media.