Police identified the suspect as 29-year-old Stephen Morgan. It was unclear where he lives, and a Wesleyan spokesman said Morgan had no known connection to the university.
Authorities released a surveillance photo taken inside the bookstore of a thin, bearded man they believe is Morgan, and they described him as armed and dangerous.
Police Lt. Margaret Liseo said evidence uncovered at the scene "heightened our level of concern," but she wouldn't say what the evidence was.
"We just want to get the message out there to be extra vigilant," she said. "This individual is armed and dangerous, and we want to be sure public safety is our top priority."
The victim was identified as Johanna Justin-Jinich, of Timnath, Colo. She was working at the Red and Black Cafe inside Broad Street Books when the gunman shot her several times. She was pronounced dead at a hospital.
Justin-Jinich would have graduated next year from Wesleyan, a private liberal arts school in central Connecticut with about 3,000 undergraduate and graduate students.
She was a 2006 graduate of the Westtown School, a private Quaker boarding school in rural southeastern Pennsylvania, about 25 miles west-southwest of Philadelphia. Head of School John Baird said he spent much of Wednesday informing people there that the victim of the shooting was the honor student who participated in tennis and dance in her high school years.
Wesleyan University officials offered counseling Wednesday night.
"This is a devastating loss for Johanna's family, friends, and for the entire Wesleyan Community," the university said in a statement. "Our hearts go out to all those who grieve for Johanna, and we hope all can find comfort in the support of friends, teachers and classmates."
Authorities said there were several witnesses to the shooting, and police found a wig used by the gunman and a weapon at the bookstore. Liseo said authorities haven't confirmed that it was the weapon used in the shooting.
The shooting and manhunt forced police to order hundreds of college students gathered nearby for Wesleyan's annual Spring Fling concerts to seek refuge. The concerts, held annually to allow students to blow off steam before spring semester finals, were canceled Wednesday.
Police officers were at the scene quickly because the station is less than two blocks away and officers were undergoing SWAT team training.
Outside the bookstore, several young women clustered outside the police line, crying. They said they were friends of the victim but would not talk to a reporter.
Other students called the shooting "tragic."
"We went from the height of our mood where everyone was really happy the semester was over to we don't even know what to think," said Darien Combs, a 20-year-old sophomore from Denver. "We're just processing."
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