A U.S. Immigration and Customs Enforcement officer in Minneapolis shot and killed Renee Nicole Good, a 37-year-old mother of three, on Wednesday.

Moments later, Ms. Good was dead, shot by an Immigration and Customs Enforcement agent, Jonathan Ross, on Wednesday morning.

Claire Gul, who helped organize the event, said the protest was spurred by Good’s death, but organizers also intended to support Gwinnett residents affected by the recent increase in ICE activity acro...