They did not speak to the woman who was leaving with two pets.
Officials say Hodgkinson was carrying an M-4 assault rifle and a handgun.
In all, five people were taken to area hospitals, including the suspect, Alexandria police said.
The shooter, who was killed after his gun rampage in the USA state of Virginia, has been identified as James Hodgkinson, 66, of IL, who had posted a number of abusive anti-Trump rants on social media.
Hodgkinson posted, "Republican (expletive) wanted people to work for slave wages, when a livable wage is the only way to go!"
He was charged in 2006 with battery and aiding damage to a motor vehicle in St. Clair County, Ill, but the charges were later dismissed.
The vast majority of the cases are traffic violations and almost all of them were later dismissed. One conviction in 2009 was for failing to have an electrician's license and another in 1991 was for speeding.
Texas Congressman Roger Williams was also at the baseball game.
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The shooting occurred at a popular park and baseball complex in Alexandria, Virginia, where Republican lawmakers and others were gathered for a morning practice about 7 a.m.
Republicans were practicing for Thursday's baseball game against Congressional Democrats.
His injuries are described as serious, according to the law enforcement source. Authorities later confirmed at a press conference that the suspect is in custody.
Police identified the shooter as 66-year old James Hodgskinson, of IL. She said he was using a long gun and exchanging fire with law enforcement officers, one of whom yelled for her to get down. The FBI is also investigating the incident, saying they're not sure if the shooting was an assassination attempt.
The Bureau of Alcohol, Tobacco and Firearms is now conducting urgent traces on two firearms - a rifle and a handgun - from the scene. Sanders later condemned the shooting and said that he had been made aware that Hodgkinson had volunteered for his campaign.
Rep. Jeff Duncan said in a statement that he was at the practice and said "saw the shooter". "He is grateful for the courageous actions of U.S. Capitol Police, first responders, and colleagues".
"America is praying for you and America is praying for all of the victims of this bad shooting", the President said. Giffords was believed to be the target but survived; six others were killed an additional 12 were injured.
"I have just been informed that the alleged shooter at the Republican baseball practice was someone who apparently volunteered on my presidential campaign".