The victim, who was not an LSU athlete, was found fatally shot in the backseat of a truck, a police spokesman told the Baton Rouge Advocate.
The athletes called 911 and waited at the scene. They have not been arrested, police told the newspaper.
"Right now, our concern is for the safety and well-being of our student-athletes," LSU athletic director Joe Alleva said in a statement. "They have been involved in a traumatic incident, and we have made our counselors available to assist immediately."