"The shooting happened inside the store," Officer Victor Avila told CNN. The location was evacuated.
It was unclear whether anyone was in custody, but police said it was not an active shooter situation. Video from CNN affiliates showed a Walmart Supercenter parking lot filled with emergency vehicles.
Jennifer Biglands walked over from her home after her sister called her frantically from inside the store. The sister said she heard seven or eight shots. The woman was so frantic and crying that Jennifer couldn't understand her, so she passed the phone to an employee who told her there had been an incident and that the woman would need a ride home.
Thornton is just north of Denver.
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