At 3:20 a.m. Friday, Lake County coroner's officials were called to Majestic Star Casino's Parking Garage 2D at 1 Buffington Harbor Drive.
Mary Austgen, 76, of St. John, Indiana, was found in her car with a single gunshot wound to her lower left torso.
Police are searching for Austgen's killer or killers.
Gary Indiana Police Chief Wade Ingram says his department is working closely with police from Griffith.
Austgen was reported missing Thursday from Griffith, Indiana, where she works at a family company, Austgen Electric.
Police say they don't believe Austgen was robbed. The motive for the attack is still a mystery.
Majestic Star Casino is yet to comment, but customers say they are watching their backs.
"It really scares me," said casino customer Ora Jackson. "What about the security out here?"
Police were in Austgen's driveway in St. John Friday morning, guarding her home but not saying why they were there.
Neighbors say Austgen lived alone and kept to herself.
Police say they are reviewing surveillance video from inside the casino, trying to figure out if any possible suspects were following the victim in our out of the casino, but as of now there are no suspects and no leads.