Authorities say that Kyle, Chad Littlefield and Eddie Ray Routh all drove to a gun range together.
Hours later, Kyle and Littlefield were found dead.
Authorities say that Routh fled to his sister's home after the incident and admitted that he shot Kyle and Littlefield dead.
Kyle -- who was born in Odessa -- recently wrote an autobiography, called "American Sniper."
Kyle -- a sniper who claimed a record number of kills in Iraq -- had been a fierce advocate for veterans.
In fact, Kyle even started a foundation for veterans suffering from Post Traumatic Stress Disorder
Investigators believe that Kyle's work with veterans suffering from P.T.S.D. might have been what brought him to the gun range with Littlefield and Routh.