The woman launched the projectile at the 66-year-old former First Lady as she was addressing a meeting of the Institute of Scrap Recycling Industries (ISRI).
Clinton, the presumed frontrunner for the Democratic presidential nomination in 2016, ducked as the object whizzed past at head height to the left of her.
"What was that, a bat?... Is that somebody throwing something at me?" Clinton said initially at the event at the Mandalay Bay hotel/casino, according to video footage by the local KTNV station.
Regaining her composure and sense of humor, she added: "Is that part of Cirque du Soleil?" -- a reference to the acrobatic dance troupe, which has several shows in Vegas.
"My goodness, I didn't know that solid waste management was so controversial. Thank goodness she didn't play softball like I did," she said, drawing laughter and cheers from the audience.
The blonde woman who threw the shoe was immediately escorted out of the hall, her hands in the air. She was later arrested, according to the Las Vegas Review-Journal.
A spokesman for the organizers said the woman was not accredited for the meeting.