TV footage showed armed men with backpacks firing at the convoy as they retreated from the scene, several damaged vehicles and a lone, unexploded grenade lying on the ground.
Pakistani air force helicopters later took the Sri Lankan cricket team - including two players on stretchers - from the Gaddafi Stadium to an air base.
Thilan Samaraweera and Tharanga Paranavithana, two of the injured players, were carried on stretchers to a second helicopter, which also evacuated Mahela Jayawardene, the Sri Lankan team's captain, and Kurrupu.
Salman Taseer, the Punjab governor, said the assailants had been chased into a nearby commercial and shopping area and a massive security sweep was under way.
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.
Security experts defused two car bombs near the scene and recovered a stash of weapons including grenades, 3kg of explosives, a pistol and a detonating cable after the deadly ambush, the AFP news agency reported.
Daniyal Hassan, a journalist with Dawn newspaper who was at the scene, said the attack occurred "very close to the local police station".
"The shooters had fled and no one could see in what direction [they went] ... but at this point they are definitely at large," he said.
The Sri Lankan cricketers flew out of Pakistan on Tuesday evening on a specially chartered Airbus A320 after calling off the current tour.
Sri Lanka's cricketers were invited to Pakistan after India pulled out over security concerns.
It was unclear who was behind Tuesday's assault, 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 crushing the Liberation Tigers of Tamil Eelam (LTTE) and ending a decades-old civil war.
Authorities said they were investigating possible links to the LTTE, but military officials in Sri Lanka said they did not believe the group was responsible for the Lahore attack.
The Sri Lankan government condemned the assault as "cowardly" and said it was immediately dispatching the country's foreign minster to Pakistan.
The International Cricket Board also moved quickly to denounce the Lahore attack.
|Five police officers escorting the Sri Lankan team were killed [Reuters]
"We note with dismay and regret the events of this morning in Lahore and we condemn this attack without reservation,'' Haroon Lorgat, the board's chief executive, said in a statement.
The Punjabi governor, meanwhile, likened the shooting to a strike in the Indian city of Mumbai last year in which 179 people were killed when armed men began opening fire indiscriminately at luxury hotels and the main railway station.
"I want to say it's the same pattern, the same terrorists who attacked Mumbai," Taseer said.
"They are trained criminals. They were not common people. The kind of weaponry they had, the kind of arms they had, the way they attacked ... they were not common citizens, they were obviously trained."
Laskhar-e-Taiba, the group blamed for the Mumbai attack, comes from Pakistan's Punjab province, of which Lahore is the capital.
The attack also comes amid a backdrop of political instability in the province.
Supporters of Nawaz Sharif, the leading opposition politician, have been protesting daily in Punjab against a supreme court ban on Sharif and his brother from standing for election.
The provincial government, which was led by Sharif's party, has been dismissed by Asif Ali Zardari, Pakistan's president, and federal rule imposed.
Hamid Mir, a Pakistani journalist and political analyst, blamed Zardari's government, and specifically Taseer, for allowing Tuesday's shooting, saying the attackers had taken advantage of the political turmoil.
"The governor of Punjab is the most powerful person in the province and he was responsible for security, and security was weak, [so] I think he should resign. He is responsible for this huge lapse in security," Mir said.
"The governor was too busy infighting with Nawaz Sharif to take care of the security situation in Lahore."