Nashville police spokesman Don Aaron confirmed that authorities were called to a condominium and found McNair and a woman shot to death inside. Aaron said police don't yet know the circumstances of the shooting.
"I don't have any answers for you now as to what's happened, who's responsible," he said.
Aaron said police tentatively have identified the woman but did not release her name.
"There are persons who were around the complex today, visitors, who have been taken to headquarters for questioning, just to see what they know, what they may have seen," Aaron said. "No one is in custody right now." The condominium where the bodies were found is one that McNair was known to frequent, but police spokeswoman Kristin Mumford could not say whether he was the owner.
Detectives from the police department's centralized homicide unit were on the scene.
McNair played 13 seasons in the NFL and led the Tennessee Titans within a yard of forcing overtime in the 2000 Super Bowl, which they lost 23-16 to the St. Louis Rams. He also played for the Baltimore Ravens before retiring in April 2008.
"We don't know the details, but it is a terrible tragedy and our hearts go out to the families involved," NFL commissioner Roger Goodell said in a statement.
"We are saddened and shocked to hear the news of Steve McNair's passing today," Titans owner Bud Adams said in a statement.
"He was one of the finest players to play for our organisation and one of the most beloved players by our fans. He played with unquestioned heart and leadership and led us to places that we had never reached, including our only Super Bowl."
About 50 people crowded just beyond police tape outside the complex in the upscale Rutledge Hill neighborhood, some wearing Titans hats. The condominium is located within walking distance of an area filled with restaurants and nightspots, just a few blocks from the Cumberland River and within view of the Titans' stadium.
McNair began his career in 1995 with the Houston Oilers, who eventually became the Titans, and finished with 31,304 yards passing and 174 touchdowns. McNair played with pain for several years, and the injuries ultimately forced him to retire.
The highlight of his playing time might have been a five-game stretch at the end of the 2002 season when he was so banged up he couldn't practice. McNair started all five games and won them all, leading the Titans to an 11-5 finish and a berth in the AFC championship game for the second time in four seasons.
McNair played all 16 games in 2006, his first season in Baltimore, and guided the Ravens to a 13-3 record. But he injured his groin during the season opener last season and never regained the form that enabled him to earn a berth in four Pro Bowls.
"I am deeply saddened to learn of today's tragic news regarding the death of Steve McNair. He was a player who I admired a great deal," said New England Patriots senior football adviser Floyd Reese, who was GM of the Titans when McNair played there.
"He was a tremendous leader and an absolute warrior. He felt like it was his responsibility to lead by working hard every day, no matter what.
"I don't think there was a player who played with him or against him that didn't look up to him and respect him," Reese said.
"My heartfelt condolences go out to his family, his friends and the many teammates who loved and admired him." Titans coach Jeff Fisher was out of the country, taking part in the first NFL-USO coaches tour to Iraq.
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