After the shooting in Lexington at about 4 a.m. EDT (0800 GMT), 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.
"She didn't make it. I'm so confused," Gay told the sports editor with NBC-affiliate Lex 18 television. "She was just here last week for fall break. It's so crazy."
Gay, 34, was born in Lexington and lives in a suburb of Orlando, Florida. He could not be reached for further comment.
In 2007, he won three gold medals at the World Championships in Osaka, Japan, taking titles in the 100 meter, 200 meter and 4x100m relay. He set the U.S. record in the 100-meter sprint two years later.
Gay, who made his Olympic debut in 2008, won a silver medal with the 4x100 meters relay team at the 2012 Games in London. 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.
"Sending our thoughts and prayers to (Tyson Gay) and his loved ones as they mourn the tragic & senseless loss of his daughter, Trinity," USA Track & Field, the sport's national governing body, wrote on Twitter.
American Olympic hurdler Lolo Jones echoed the sentiment. "Heavy heart today for Tyson Gay and his family," Jones, 34, wrote on Twitter. "Lord please ease their pain and give them strength during this time."
Trinity was a rising star on the track team at Lafayette High School in Lexington, her father's alma mater, Sports Illustrated reported.
"Our hearts are broken this morning over the loss of Trinity to this tragic and senseless act of violence," Fayette County Public Schools, which runs the high school, wrote on Twitter.