Authorities called on the public to send videos or photos of the incident and for any eyewitnesses to come forward. They have not yet released details about the identity of the man who was killed or information on the shooter.
"It is still early in this investigation, and I ask everyone to give the detectives time to do their important work before drawing conclusions about what took place," Police Chief Chuck Lovell said, adding that the violence was "completely unacceptable."
Reporters on the scene said the deceased man was wearing a hat bearing the insignia of the far-right group Patriot Prayer — a group that has clashed with Black Lives Matter protesters in Portland in recent weeks.
Victim shot after rally
The shooting erupted on Saturday evening around 15 minutes after a pro-Trump caravan with around 600 vehicles left downtown, police said in a statement.
The victim sustained a gunshot wound to the chest and did not survive. Police have not said whether the killing was tied to the protests.
Around 2,500 Trump supporters took part in the rally which clogged up roads and saw clashes with left-wing groups in the city.
Portland and other US cities have seen weeks of protests against systemic racism and police brutality. The demonstrations were sparked by the death of George Floyd, a Black man who died after a police officer kneeled on his neck for nearly nine minutes.
The shooting in Portland comes on the heels of a deadly shooting in Kenosha, Wisconsin — where two people were killed on Wednesday during protests over the police shooting of Jacob Blake, a 29-year-old Black man. A 17-year-old gunman has been arrested over the killings. Trump himself plans to travel to Kenosha on Tuesday to meet with law enforcement officials.