Haji Habibur Rehman, Lahore's chief of police, said there were about 12 attackers, who "appeared to be well-trained terrorists".
"Five policemen who were providing protection to the team sacrificed their lives," he said.
Rehman said one cricket player had suffered a leg injury and another was shot in the chest, but neither injury appeared life threatening.
A Sri Lankan ministry official said Thilan Samaraweera and Tharanga Paranavitana were the cricketers hospitalised.
He said three other players were slightly injured and that Trevor Bayliss, the team's head coach and an Australian national, also sustained minor wounds.
Sri Lankan cricket officials said the test match has been called off after the shooting, and that they are working to get the team out of the country as soon as possible.
The Pakistani cricket team, which was also on its way to the stadium when the incident occured, was rushed away from the area.
Security 'problems'
It was unclear who was behind the assault on Tuesday, and no one has yet claimed responsibility.
Pakistan has seen a wave of violence in recent years, and some foreign sports teams have refused to play in the country because of security concerns.
Sri Lanka has also seen attacks in the country's north and in the capital Colombo as government forces claim to be on the verge of crusing Tamil Tiger rebels and ending a decades-old civil war.
Hasan Askar-Rizvi, a Lahore-based defence analyst, called the shooting a "daredevil, well-planned, and well-executed attack which shows the strength of terrorist forces in Pakistan".
"[It] shows the problems in the security system of Pakistan," he said.
Askar-Rizvi said he suspected the attackers' target was not specifically the Sri Lankan cricket team, but rather, to make headlines and embarrass the Pakistani government.