Student Bailey Holt, 15, died at the scene, and classmate Preston Cope, also 15, died later in hospital.
This is the second shooting at a U.S. high school in the last 24 hours.
Some students from Marshall County High School were taken to a trauma center in Nashville for treatment after Tuesday morning's shooting.
Seven minutes after 9-1-1 was called and less than 10 minutes after the first shots rang out, first responders arrived. The student injured in the shooting was transported to a hospital. "They were trying to get out of there". Another 15-year-old died later from his injuries.
Many are turning to each other and their faith to get through the mass shooting that shook the commonwealth of Kentucky.
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"We in law enforcement will do our job and do it well, and we will pray for the families that are affected by this today", Sanders said.
Students were seen running down USA highway 68, located in front of school, to search for their parents after the shooting. Authorities are not yet releasing the names of anyone involved, citing an ongoing investigation, but added they believe everyone involved was a student. "I saw the flashes from the gunshots and by that time I was just running", he said. "Everyone just dropped their stuff and ran", Allissa Hubbard, 16, told member station WKMS.
"A tragedy beyond words occurred in our community today", school Superintendent Trent Lovett said in a statement late Tuesday.
"You never think it's going to happen here". They were later bused to a neighboring school where parents could retrieve them, the Marshall County Tribune-Courier newspaper said.
That student is in custody at a local juvenile jail. The suspect in the incident at Marshall County High School in Benton, Kentucky, has been apprehended, according to officials with Marshall County Emergency Management. It happened in Benton, about 30 miles west of Paducah, where one of the first school shootings 20 years ago left three dead.