Team trainers were able to remove the bullet from the calf of Kyle Denney, who was expected to spend the night in the hospital but was not seriously hurt, club spokesman Bart Swain said.
The rest of the team was unharmed. The shooting occurred as the team rode to Kansas City International Airport after a game with the Kansas City Royals.
Swain said the shot was fired into the side of one of the Indians' two buses while it was on a ramp between Interstate 435 and I-70, grazing outfielder Ryan Ludwick.
"It went through his pants and then hit Denney," Swain said. "At first, there was a little bit of panic. Once we realized Kyle was OK, fears were subsided."
Police spokesman Darin Snapp said there were no suspects and it wasn't known if the team's bus was the intended target. Telephone messages left for the Royals were not immediately returned.
The Indians arrived safely at the airport and boarded a plane bound for Minneapolis early Thursday.
Denney, who started Wednesday night's 5-2 victory over the Kansas City Royals at Kauffman Stadium, was expected to rejoin the Indians on Thursday in Minnesota, where Cleveland begins its final series of the season Friday.
After getting called up from Triple-A Buffalo on Sept. 14, the 27-year-old Denney is 1-2 with a 9.56 ERA in four starts with Cleveland. He beat Kansas City 8-3 on Sept. 19 for his first major league win.