Family members told ABC7 she was pregnant with her first child, a baby girl.
The shooting happened in the Cragin neighborhood's 5200 block of West Montana Street at about 1 p.m., police said.
Police said the 21-year-old woman got into a car and announced a robbery. During this incident, there was an exchange of gunfire between the people in the car and an unknown suspect outside of the car, who police believe was with the woman.
SEE ALSO | Chicago shooting: 17-year-old boy found fatally shot in Chatham, police say
The woman was struck in the shoulder, back and hand. She was transported to Illinois Masonic Hospital, where she was pronounced dead, police said. Her name has not yet been released by the Cook County medical examiner.
There is no one in custody and area detectives are investigating.
INTERACTIVE SAFETY TRACKER Track crime and safety in your neighborhood