Leta Jamrowski, 19, of El Paso, Texas, learned on Saturday afternoon that her sister Jordan Anchondo was among the 22 people killed at Walmart while she shopped for back-to-school supplies.
Ms Jamroski said she would "give my life in trade of hers" because she had "three babies to raise."
"Any day I'd give my life just to have her back," she said.
The 19-year-old spoke outside the University Medical Centre of El Paso, where her two-month-old nephew was being treated for broken bones as the result of his late mother’s fall.
“From the baby’s injuries, they said that more than likely my sister was trying to shield him,” she said.
“So when she got shot she was holding him and she fell on him so that’s why he broke some of his bones. So he pretty much lived because she gave her life.”
Ms Anchondo was the mother of three children.
Her father, Paul Jamrowski, said: "It's unreal. When you think about that, you'll have times when you're like, you know what I can pick up the phone and call because that's what we do most of the time.
"It's still not real. Honestly, we'll have our moments and we'll be okay. And then we'll just break down."
He added: "The pain is unreal. You should never be able to bury one of your daughters or your sons before you."
Law officials have named the suspect of the El Paso shooting as 21-year-old Patrick Crusius from Allen.
The attack is being handled as a domestic terrorism case, authorities said.
Police are investigating whether there is a link between the shooting and racist, anti-immigrant material posted online shortly before the attack.
Misti Jamrowski, mother of Ms Anchondo, said she forgives the gunman: "And just like Jesus said that we should forgive.
"Forgive those who do wrong to us. From my heart I really do forgive him. I feel sorry for his parents because they lost a child too."
The family are also desperately searching for Ms Anchondo's husband, Andre, and do not yet know whether survived the attack.
“They said that if he were alive, more than likely he would have gotten in contact by now,” an emotional Ms Jamrowski said.
"We've been waiting at the hospitals...we are just trying to put the word out there, if anybody has heard from him.
"Just give us a call, we're worried, we want to make sure he's OK."
Leta Jamrowski makes an emotional appeal for missing brother-in-law Andre Anchondo
In the hospital lobby, Mexican consular officials tracked the wounded and missing.
El Paso, which has about 680,000 residents, sits across the border from Ciudad Juarez in Chihuahua, Mexico.
Mexico President Andres Manuel Lopez Obrador said three Mexicans were killed in the shooting.
He tweeted on Saturday that he sends “condolences to the families of the victims, both American and Mexican”.
Beto O’Rourke, a Democratic presidential candidate and an El Paso native, held a news conference on a street corner opposite the hospital as the sun set, recounting his visit with wounded victims, including a woman who had a bullet pass through her lungs.
“I told them that I am so amazed at how strong they are,” the former US congressman said.
Ryan Mielke, a spokesman for University Medical Centre of El Paso, said 13 people were brought to the hospital with injuries, including one who died.
Two of the injured were children who were being transferred to El Paso Children’s Hospital, he said.
A total of 11 other victims were being treated at Del Sol Medical Centre, hospital spokesman Victor Guerrero said, ranging in age from 35 to 82.