Police tell Action News medics were called to the Olney Recreation Center in the 100 block of East Champlost Street at 6:30 a.m. Wednesday.
They found a woman lying on the ground outside the facility. She had been shot once in the head.
Medics called police and pronounced her dead at the scene.
Police say the victim had no identification on her.
They are working to find out who she is, and they are studying surveillance video for clues to the murder.
So far there have been no arrests.
Anyone with information is urged to contact Philadelphia Police at 215-686-TIPS (8477), text a tip to PPD TIP (773847) or through PhillyPolice.com.