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.
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.
"Our hearts are broken this morning over the loss of Trinity to this tragic and senseless act of violence," Fayette County School Superintendent Manny Caulk told the Lexington Herald-Leader newspaper.
"A life of such potential cut so tragically short," tweeted Julian Tackett, commissioner of the Kentucky High School Athletics Association.
Other athletes also tweeted their condolences.
Police have launched a murder investigation into the shooting, which happened at about 0400 local time (0800 GMT) outside the Cook Out restaurant in the city, Lexington police said in a statement.
Witnesses reported an exchange of gunfire between two vehicles, a grey Dodge Charger and a dark-coloured sports car with tinted windows.
Ms Gay - who is not thought to have been in any of the vehicles - was taken to University of Kentucky hospital in a private car.
Officers located the Dodge Charger and detained two people for questioning but were still searching for the other vehicle, police said.
Tyson Gay was part of the US 100m relay team at the Rio Olympics.
In 2013 he tested positive for a banned substance and was banned from competition for a year.
Former world champion sprinter Tyson Gay's 15-year-old daughter has been killed in a shooting in the US state of Kentucky, police say.