They say a man opened fire on her when she was signing autographs.
The assailant - who was tackled by Ms Grimmie's brother - then shot and killed himself. The 22-year-old singer died in a local hospital.
In 2014, Ms Grimmie finished third during season six of The Voice.
In a tweet, Orlando's police wrote: "With deep regret, we have confirmed Christina Grimmie, @TheRealGrimmie has died from her injuries."
Meanwhile, Ms Grimmie's publicist said: "It is with a heavy heart that we can confirm that Christina has passed and went home to be with the Lord."

Police say Ms Grimmie was shot about 22:45 local time on Friday (02:45 GMT Saturday) at The Plaza Live in Orlando.
The attacker, whose name has not been released, had two guns.
A police investigation is now under way.
News of the attack spread quickly on social media, with many fans voicing their shock and anger.

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