The firefighter died after he was rushed to a local hospital, the department said in a statement posted to Facebook.
"It brings home the risky nature of the jobs that our officers are expected to do", said Jim Palmer, executive director of the Wisconsin Professional Police Association.
Appleton Fire Department says a GoFundMe has been established in Lundgaard's memory.
Appleton is about 120 miles from Madison.
Fire officials say funeral arrangements for the firefighter are pending and that the investigation into the incident is ongoing.
Appleton police say an officer and a firefighter are among those injured in a shooting near the city transit center Wednesday evening.
In a statement released Thursday on Twitter, Evers said he and his wife, Kathy, "send our deepest sympathies to the family, friends (and) colleagues of the firefighter who lost their life last night".
"So that the Appleton Fire Department and his family knew that even though he's not there at home, that he is guarded and we all feel that loss with them and for them", said Jones.
The first responders gave medical help to the man, who eventually left the bus and started walking toward a nearby library, police said.
"We're seeing.police coming up and rushing the scene, and then I see a bunch of police crouched down, kind of hiding behind a vehicle with the guns, and they're all pointing at them", Annika Leon said.
"We stand with our courageous first responders ... as they mourn this loss", Evers said. Authorities have so far provided few details about the incident and the conditions of the injured, but planned a news conference for Thursday afternoon.
Appleton police and firefighters responded to the transit center on the 100 block of E. Washington Street around 5:30 p.m. Wednesday for a routine medical call, police said.
Police are still trying to determine what led up to the shooting and exactly how many rounds went off. Police say there is no ongoing threat to the community, but didn't say if anyone is in custody.
Firefighters stood silently at the medical examiner's office as the procession began, just as they had when the body arrived in a flag-draped casket overnight.
The Appleton Fire Department confirmed a firefighter was killed in the line of duty during a shooting.