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).
Mrs Clinton, the front-runner 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?" Mrs 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 organisers said the woman was not accredited for the meeting.
"Our staff denied her access before she later rushed past security. An ISRI staffer then stopped her as she approached the stage. She was then handed over to law enforcement," ISRI spokesman Mark Carpenter said.
He added: "We are grateful that Secretary Clinton continued in a professional manner to share her firsthand knowledge and experience of how the recycling industry has a positive impact on the economy and environment."
A spokesman for Mrs Clinton did not immediately respond to request for confirmation or comment.
The most famous shoe-thrower of recent years was the Iraqi journalist who hurled his own footwear at president George W Bush at a press conference in Baghdad in December, 2008.
Muntazer al-Zaidi was sentenced to three years in prison for assaulting a head of state. That was reduced to one year on appeal, and his sentence was cut further for good behavior.
In February 2009 a German research student threw a shoe at Chinese premier Wen Jiabao during a speech at Cambridge University. Martin Jahnke, 27, was cleared of committing a public order offence.