Police in Lexington said that Trinity Gay was hit in the neck during an exchange of fire between two vehicles in a restaurant car park.
The 15-year-old died at the University of Kentucky Medical Center, the coroner’s office for Fayette County said in a statement.
Gay is quoted by local TV station Lex 18 as saying: “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.”
The 34-year-old is the United States 100m record holder and is the joint second-fastest 100m runner of all time, behind Usain Bolt.
The US track and field athletics team tweeted its condolences, sending “thoughts and prayers” to Mr Gay and his loved ones “as they mourn the tragic & senseless loss of his daughter, Trinity”.
Mr Gay’s daughter was also an athlete and competed for Lafayette High School, where she was studying.