According to police, the victim was shot in the abdomen after midnight on East Seventh Street.
Officers said the woman was rushed to U.K. Hospital, where she later died.
The coroner identified her as Stacie Lillie, 51, Nicholasville.
Investigators said a murder warrant had been issued for Martaveus L. Bell Jr, 20.
Anyone with information in the case was asked to call Lexington police at (859)258-3600, the Robbery/Homicide Unit at (859)258-3700 or Bluegrass Crime Stoppers at (859)253-2020.
Tips could also be made via text message.
Police said the community could text ‘tips2020’ plus the message to CRIMES, or 274637.
Click here to send police a tip through crime stoppers.