No one was injured at the preschool, located at the Allendale Methodist Church in St. Petersburg, the Tampa Bay Times reported.
Police said 44 children attend the preschool. Parents were notified after the incident, and the school will be closed Friday but will reopen Monday, WTSP reported.
School officials said they did not believe the preschool was the target of the shooting, WFLA reported.
Church officials posted a statement on its Facebook page, noting that since the bullet "fell just inside the window, it appears to have been fired at a great distance and not be a targeted shooting."
St. Petersburg Police Chief Anthony Holloway concurred, telling the Times the shot had characteristics of a "stray bullet." However, Holloway said investigators are not ruling out any motives yet, the newspaper reported.
According to the Times, a marquee sign in front of the church reads, "Dear God, Give courage to our elected officials to stand up to the NRA. Amen."