The incident was described by police as "isolated and domestic in nature."
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Police responded to the mall, located at 7501 W. Cermak Rd., shortly before 6 p.m. and found a car with the windows shot out in the southwest parking lot near JCPenney and Carson's.
The woman and girl sustained gunshot wounds and were hospitalized, police said. The woman later died and has been identified to the Cook County Medical Examiner's Office as 42-year-old Maria Ruiz of Chicago.
A male offender fled from the scene before police arrived.
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A spokesperson for the mall did not immediately respond to request for comment.
Sun-Times Media Wire contributed to this report