The former US president tweeted that the challenges in Northern Ireland were "real-but we cannot let go of the last 21 years of hard-won peace and progress".
He added: "This tragedy is a reminder of how much everyone has to lose if we do."
Mr Clinton played a crucial role in the deal which led to the Good Friday Agreement in 1998, which helped end 30 years of violence in Northern Ireland.
He was one of a number of politicians and well known figures to pay tribute to the journalist, who wrote for a number of publications including The Independent.
Heartbroken by the murder of Lyra McKee and the violence in Derry. The challenges in NI today are real--but we cannot let go of the last 21 years of hard-won peace and progress. This tragedy is a reminder of how much everyone has to lose if we do.— Bill Clinton (@BillClinton)April 19, 2019
Ireland's president Michael D Higgins condemned the "outrageous" murder of Ms McKee, who he called "a talented writer, journalist, campaigner for rights."
He said: "In the course of her professional work to be taken away in such a fashion, and I have to say as well by those who represent, I think, nobody on this island. It was an outrageous act and I want on behalf of all of the people of Ireland to express our deepest sympathy to her partner Sara and her family and friends, and all of those who will have worked with her."
He added: "The loss of a journalist at any time in any part of the world is an attack on truth itself. The circumstances in which it happened, the firing on the police force that are seeking to protect the peace process, cannot be condoned by anybody."
Anna Burns, the latest winner of the Man Booker prize also paid a tearful tribute to a murdered Belfast journalist at vigil for her at Belfast City Hall.
The Milkman author described Ms McKee as a "dear, dear friend" that she had met through their mutual publisher Faber and Faber.
"It's absolutely wonderful that you are all here for Lyra," she told the crowd, many of whom held candles. "She was just so helpful and generous, her wee heart was always open."
A speaker on behalf of the National Union of Journalists also told the crowd: "The NUJ stands by the right of its members to investigate and report the news. We are deeply shocked that our young member has become the latest of over 1,300 journalists who have been killed worldwide since 1992 simply for doing their job."