The student was taken to a hospital for treatment, Cincinnati television station WLWT reported.
Authorities said that they have the gun.
Other students were in the classroom at the time of the incident, a deputy from the Hamilton County Sheriff's Office said.
The Cincinnati Enquirer said the lockdown at the school was lifted and all of the students were taken to the gym.
A witness told WLWT they saw "lots of police cars and a police officer with a large gun in the street."
Cincinnati City Councilman Charlie Winburn, whose son attends the school, was among the parents who arrived at La Salle after hearing about the shooting, WLWT said.
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