An Australian man in his early 20s has been shot dead while jogging in the US state of Oklahoma.

Christopher Lane from Melbourne was studying at an American university on a baseball scholarship.

He was fatally shot while out for a run in the small town of Duncan on Friday.

Police have arrested three teenagers in connection with the murder.

Duncan Police chief Daniel Ford has told US media the shooting appears to have been a random attack.

"They witnessed the young man run by on the street [and] chose him as a target," he said.

"There were some people who saw him stagger across the road, go to a kneeling position and then collapse on the side of the road."