The animal was found between the Badsworth and Ackworth areas of Wakefield, West Yorkshire Police's Wildlife & Rural Crime team said.
Police described the incident as a "horrible crime" that has "sickened everyone" who has worked on the investigation
Anyone with information has been asked to contact police.
The rural team posted: "A pregnant Roe deer was found shot and killed this week between the Badsworth and Ackworth area of Wakefield.
"Crime number 13210225485.
"This is a horrible crime that has sickened everyone who has had anything to do with the investigation.
"Please share any info please call 101 or Crimestoppers 0800 555 111."