None of Utah's six members of Congress play in the game and all reported in safe.
Rep. Mia Love, who plays in a separate women's congressional softball game, tweeted that she was concerned for her colleague and those injured.
"I appreciate all those who have reached out I am fine. Thank you for your concern," she said.
Rep. Jason Chaffetz added on Twitter that he was "Praying for my colleagues this morning. God bless."
Rep. Rob Bishop said his "Thoughts and prayers are with those impacted by the shooting in Virginia today. God bless the" Capitol Police.
Sen. Mike Lee, who is close friends with Sen. Jeff Flake of Arizona who was at the ballpark, called Flake immediately after hearing the news, Lee's office said. Flake was not hurt.
Sen. Orrin Hatch was in his Capitol office and told of the shooting by his Capitol Police security detail.
"My heart is with the victims of today's shooting, including my good friend, Representative Steve Scalise," he said in a statement. "I pray that he and the congressional staffers injured in this horrific event can recover quickly."
"I shudder to think what could have happened this morning were it not for the quick action taken by our Capitol Police officers. Every day, these courageous men and women risk their own wellbeing to ensure the safety of othersand they do so with little fanfare or recognition. I'm profoundly grateful for our Capitol Police, including the members of my own security detail who work around the clock to keep Elaine and me safe."
Former Rep. Gabby Giffords, D-Ariz., who was shot in the head in 2010, also weighed in on Twitter.
"My heart is with my former colleagues, their families & staff, and the US Capitol Police- public servants and heroes today and every day."
President Donald Trump also weighed in on Twitter.
"Rep. Steve Scalise of Louisiana, a true friend and patriot, was badly injured but will fully recover. Our thoughts and prayers are with him," the president said.