Officials told WSOC that Officer Sheldon was shot by 28-year-old Michael Aldana shortly after 10 p.m. on West Plaza Drive.
Sheldon, 32, was taken to the hospital but died from his injuries, police told WSOC.
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Sheldon served with the Mooresville Police Department for six years.
According to WSOC, investigators said the Aldana went to an apartment complex two miles away, where officers found him dead from a self-inflicted gunshot wound.
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It is still unclear what led to the shooting.