The A199 near Kinwegar recycling centre, near Wallyford, was closed for nearly 24 hours from 1.35pm yesterday.
Two vehicles have been recovered by police and a specialist search of the area is taking place.
Officers are now appealing for any witnesses to come forward.
A Police Scotland spokeswoman said: “Police in East Lothian responded to the A199 near to the Dolphingstone recycling centre at around 1.35pm on Monday 26th November following reports of a firearm being discharged.
“Specialist resources supported local officers in carrying out a search of the area and two vehicles have been recovered as part of this investigation.
“Inquiries into the full circumstances of the incident are ongoing and anyone with information, particularly motorists with dash-cam footage, are asked to come forward.
“The A199 remains closed as investigations continue. We would like to thank the public for their patience.”
Witnesses and people with dashcam footage are being asked to come forward to the police.
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