The hairstylist and make-up artist was found dead near Canton, Mississippi.
Caldwell is the the first transgender person to be reported murdered in the US in 2017.
Authorities would not comment on whether the motive was related to Caldwell’s gender identity.
According to Mississippi Now, Caldwell was found on a county road just outside the Canton city limits on Wednesday January 4.
Madison County spokesman Heath Hall confirmed reports that Caldwell was shot. He added that the investigation was ongoing.
Her murder is Mississippi’s second killing of a transgender woman in the past twelve months. In June of 2016, 25-year-old nurse Dee Whigham was murdered.
A family friend told Mic: “She always, always dressed like a girl. And as she grew up, she became beautiful just like a lady … I really don’t know why somebody would want to kill her … I don’t care what she put on. It looked good on her.”
Across social media, members of the transgender community and beyond paid their respects to Caldwell.
The 41-year-old’s death is part of a trend of violence against transgender people and their communities. Last year 23 trans people were reported murdered in the United States, breaking the previous year’s record of 22 trans murders.