The FBI said two suspects robbed First Midwest Bank at 1975 Ridge Road and fled the scene after fatally shooting the security guard.
The Lake County Coroner's Office identified the victim as Richard Castellana, 55, of Tinley Park.
Castellana served as a Cook County Sheriff's deputy for 35 years before his retirement in 2019, the Cook County Sheriff's Office said.
WATCH | Chopper7 over Gary bank where security guard was shot, killed
Security guard shot, killed during Gary bank robbery
Both suspects were caught on surveillance cameras around 1 p.m. carrying guns before ambushing Castellana outside the bank. Witnesses said they heard at least two gunshots.
"I heard the gunshots, but thought it was fireworks," Randy Martin said.
Federal, state and local authorities - all heavily armed - fanned out to search the surrounding area for the second suspect. They focused on a wooded area nearby where the first suspect was found hiding behind the trees.
"For them to have the guts and the audacity to do something like that, that is beyond me," Martin said.
Many who work in the area said they saw Castellana patrolling the parking lot on a daily basis.
"Every day we see the security guards walking around over there," said Mike Richardson, who works across the street. "It's just surreal when you see something like that, you just don't believe it."
The Cook County Sheriff's Office said in a statement: "We are saddened to hear about the tragic passing of our former Deputy Sheriff, Richard Castellana... He will be greatly missed by his colleagues and friends. We send our deepest condolences to his family and loved ones.
No charges have been filed yet. The Lake County Sheriff's Department said their investigation is ongoing.