Police in Lexington said Trinity Gay was hit in the neck during an exchange of fire between two vehicles in a restaurant car park.
She was taken to hospital where she later died, local media reported.
Mr Gay, who is from Lexington, confirmed her death to local TV station Lex 18.
"She didn't make it. I'm so confused. She was just here last week for fall break. It's so crazy. I have no idea what happened," Lex18 quoted him as saying.
Mr Gay is the US 100m record holder and is the joint second-fastest 100m runner of all time, behind Usain Bolt.