Police in Frankfort, the state's capital city, said the campus was on lockdown on Tuesday and and a suspect was in custody.
Video from WLKY-TV in Louisville showed multiple police vehicles outside a cluster of dormitories and crime scene tape in a courtyard.
One student who was shot at the residence hall, Whitney M. Young Jr Hall, is in critical condition but is stable, according to the university.
"We are in close contact with the families and are providing every available support to them," the school said in a statement, adding that counselling and support services are available.
Frankfort police said it responded to an incident involving "an active aggressor" and that the campus was secured. Authorities planned to release more information at an evening news conference.
Governor Andy Beshear said in a video message posted on the social media site X that the shooting "appears to be an isolated incident" and that "there is no ongoing threat."
"Violence has no place in our commonwealth or country. Let's please pray for the families affected and for our KSU students. Let's also pray for a world where these things don't happen," he said.
Kentucky State is a public historically Black university with about 2200 students. Lawmakers authorised the school's creation in 1886.
The school sits about 3.2km east of the Capitol building.
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