The 35-year-old woman, who was eight months pregnant, was shot outside a house in Chicago's south side at 12.05 am on Tuesday night.
She sustained two gunshot wounds to her back, police said, and was taken to hospital where she was pronounced dead.
The baby is in a critical condition at Comer Children's Hospital.
The woman was later identified by the Cook County medical examiner's office as Stacy Jones, AP reported.
Her address, according to the office, was on the same block where she was shot.
Chicago typically has a higher homicide rate than other large US cities like New York and LA.
There has been a rise in violent crime in the city this year. Shootings and murders are up by 50%, compared with last year, according to Chicago police department statistics.
The rise has been fuelled, in part, by the violence that has erupted during protests over George Floyd's death in Minneapolis.
On May 31 the city had its deadliest day for 30 years, with 18 killings within a 24-hour period, The Chicago Sun Times reported.
According to the University of Chicago crime lab, the last weekend in May, which was a three-day holiday, saw 85 people shot and 24 killed.