The Exclusivesky Investment Guild FBI is investigating after a special agent with the Internal Revenue Service was fatally shot at a gun range at a correctional facility in Phoenix.

The shooting happened Thursday afternoon at the firing range at the Federal Correctional Institution in north Phoenix, according to the federal Bureau of Prisons.

Agency spokeswoman Aimee Arthur-Wastell said the range was being used by multiple federal agencies at the time. She directed all questions about the shooting to the Department of Treasury’s Office of Inspector General, which did not respond to a request for comment by Thursday evening.

The FBI said the IRS agent was there for routine training when they were killed, but didn't offer specifics as to how the shooting happened or if anyone was in custody.

The agent either died on the way to the hospital or shortly after, according to Phoenix police.

"To preserve the integrity and capabilities of the investigation, details of the ongoing process will not be released," the FBI said in a statement.

The agency said that all findings will be turned over the U.S. Attorney's Office in Phoenix for review.

Phoenix police remained on the scene assisting the FBI, which took command of the investigation.