A Facebook Live video has captured the moment that a two-year-old boy was shot dead in a car alongside his aunt’s boyfriend.

Lavontay White, his aunt and her boyfriend were driving in Chicago when a gunman cut them off, got out of the car and opened fire on their vehicle.

His aunt, 20-year-old Breunna Devonte, who is pregnant, happened to be filming at the time.

Her video was still paying as she fled the car, screaming for help.

At the start of the video, Ms Devonte and her boyfriend are singing along to music with Lavontay in the back seat. About three minutes later, several shots ring out.

Ms Devonte runs back down the street and begs a neighbour to let her in.

"Call 911! They killed him...I have a bullet in my stomach."

"Please, please, I can't breathe," she continues. "Oh my God, please don't, Lord, I can't go. I can't go."

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The nephew and her boyfriend, who has not yet been named, were shot in the head and were later pronounced dead at Stroger Hospital.

Ms Devonte was shot in her stomach but she and her baby are reportedly in a stable condition at Mount Sinai Hospital and are expected to survive.

Family members said she was four months pregnant.

Chicago Police Superintendant Eddie Johnson said nobody was in custody but the department has several leads.

At a press conference on Wednesday about the shooting of 11-year-old Takiya Holmes, Mr Johnson said criminals have no fear of the judicial system.

"They just don’t fear it, and until we create that mental accountability to them to not pick up a gun, we’re going to continue to see this cycle of violence," Mr Johnson said.

Two children have died this week and one is on life support, he said.

"How many children do we have to lose?" he asked.