No arrests had been made as of late Saturday, according to reports. Eleven shell casings were found at the scene.
The shooting happened before 9 p.m. ET while the woman, 32, was unloading her gifts from her car, FOX 29 in Philadelphia reported.
The woman was rushed to a hospital, where she and her unborn baby were pronounced dead.
She had been shot in the head and the stomach, Philadelphia police said, according to WPVI-TV in Philadelphia.
"The person that did this couldn't be more cowardly," Philadelphia Police Deputy Commissioner Christine Coulter said, according to WPVI.
The woman’s car was still filled with gifts from the shower after she was taken to the hospital, FOX 29 reported.
A distraught woman who said she was friends with the victim and had attended the shower could be heard at the scene crying and screaming, "What happened?!" according to video shot by a FOX 29 reporter.
"She was a nice person up and down the street," neighbor Tom Mcdonald told WPVI. "It's just sad."