The players were attending a private movie screening at the time of the shooting.
"Thunder security was made aware immediately," a spokesman said. "The team was never in danger and was safe during the entirety of the event."
According to the police, two people got into an argument at a shoe store inside the mall when one took out a gun and shot the other, per KOCO. It wasn't an active shooter situation, but police were still searching for the suspect.
The Thunder had Thursday off in the midst of a five-game homestand.
They are set to take on the Phoenix Suns Friday at the Chesapeake Energy Arena.