With the rise of Trump and the associated violence that's been occurring at rallys; It got me thinking about this. I couldn't find a good answer in my initial research.
Technically, yes. Robert Kennedy was assassinated in the kitchen of the Ambassador Hotel by Sirhan Sirhan, after giving a speech to campaign supporters inside the Ambassador Hotel's ballroom.
There have also been attempted assassinations as well. George Wallace was shot 5 times by Arthur Bremer while campaigning at a mall in Maryland. He didn't die, but he was paralyzed from the shooting. Also, Theodore Roosevelt was shot before giving a speech at a campaign stop in Milwaukee, Wisconsin by John Schrank. He actually declined medical attention and went on to give his 90 minute speech before seeking medical attention.