The player, Cheuk Woon Yee, was accompanied by teammates on Saturday as she left a hospital in the Fort Tiuna military base where she was treated for the wound, Venezuela's information ministry said in a statement.
Officials were apparently discussing when to resume play.
Venezuela Sports Minister Hector Rodriguez said a revised schedule would soon be announced. Officials of the International Baseball Federation weren't immediately available to comment.
The bullet struck Cheuk as she was taking the field to play third base in the top of the fourth inning against the Netherlands on Friday, and was lodged in her left calf, Venezuela's information ministry said. It said Cheuk was in good condition.
The incident occurred in a stadium at the Fort Tiuna military base. It wasn't clear where the bullet was fired from.
Gun violence is common in the hillside slums near the Fort Tiuna base and is a serious problem in many areas of Venezuela, which is among the most violent countries in Latin America.
Venezuela Vice President Elias Jaua said on Friday that games in Caracas were suspended while police investigated what happened.
Radio RTHK's Chinese-language reports said Cheuk suddenly fell to the ground during the game and first aid staff discovered she had been shot in the lower leg.
RTHK said the bullet was removed from Cheuk's leg in hospital.
Team manager Felix Yip was quoted as saying the bullet hit Cheuk's calf muscle, but did not damage the bone.
The rest of the players were emotionally affected by the incident, Yip was quoted as saying, and the Hong Kong team would consider skipping the rest of their matches and returning home ahead of schedule.
The Australian Baseball Federation on Saturday released a statement confirming Australia was at the facility preparing for its game — which was scheduled to start on the same field after the Hong Kong match — when the shooting occurred.
"Needless to say, the game was abandoned and all teams were ushered immediately back to their hotels under tight security," the statement said. "We can confirm that Team Australia is safe and well in their hotel." It said the Australian federation was liaising with the tournament host, the IBF, and Australian government.
"The Australian Baseball Federation is obviously concerned about the welfare of the player involved," the statement said. "This is a very unfortunate and surprising incident ..." The tournament, featuring the world's top 11 women's baseball teams, started on Thursday and was scheduled to end on Aug. 22.
Australia, Canada, Taiwan, Hong Kong, the Netherlands and Venezuela are in Pool A. Cuba, defending champion Japan, Puerto Rico, South Korea and the United States are in Pool B.
The top three teams in each pool advance to the medal finals.
