The incident happened last night during the marriage function of a local commission agent's son in Maur here where the deceased, identified as Kulwinder Kaur, was performing with her dance troupe.
A group of the groom's friends, who were allegedly drunk, were firing in the air and tried to come on to the stage to join the dancers, police said.
On being prevented from dancing on stage, one of the men from the group, Billa, allegedly opened fire with his .12 bore gun.
Video footage of the incident shows the victim being shot at from close range and collapsing to the ground.
"She died on the way to hospital," Bathinda DSP (Maur) Davinder Singh said today.
A case of murder has been registered against four persons, including Billa, police said, adding that they are absconding.
The other three are yet to be identified and investigation is underway, police said.
(With inputs from PTI)