The death was being treated as a homicide and a man who was found driving Stenson's vehicle was being held for questioning, though no charges had been filed, police said.
Stenson's body was found after police got a call early Wednesday that shots had been fired. It appeared Stenson, 25, one of the Reds' top prospects, had been run over by a vehicle, police said.
Witnesses told police a black SUV was seen leaving the area. About two hours later, police found a vehicle matching the description that turned out to be registered to Stenson. The man driving was taken in for questioning.
"We extend our prayers and deepest sympathies to Dernell's family and his friends, teammates and coaches," Reds spokesman Rob Butcher said.
Stenson was playing this month for the Scottsdale Scorpions of the Arizona Fall League.
"This is really awful," Davona Vojovich, a friend of Stenson's who was outside Scottsdale Stadium, told the East Valley Tribune. "I can't believe this happened."
One of the Reds' most promising young players, Stenson made his major league debut this season and played 37 games for the Reds. He hit .247 with three home runs and 13 RBIs — his homer accounted for Cincinnati's final run of the season.
It was unclear when the last time an active major league player was the victim of a homicide.
Atlanta pitcher Dave Shotkoski was shot to death during an apparent robbery in West Palm Beach, Fla., on March 24, 1995. Former big league shortstop Gus Polidor was shot to death in April 1995 in Venezuela shortly after being cut by Montreal in his comeback bid.
And California Angels star Lyman Bostock was killed by a shotgun blast in September 1978 in Gary, Ind., while riding in a car.