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Dang. I found it, but you really have to dig for it. You have to go back to 2020 when Trump said it to even get started. So, from the Scotsman: "Headley – a Democrat – was on holiday at the time of the clashes between police and mostly black activists protesting the United States' unfair political, social, and economic systems."

https://www.scotsman.com/news/politics/when-the-looting-starts-the-shooting-starts-the-meaning-and-history-of-donald-trumps-twitter-threat-amid-black-lives-matter-protests-2874625

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Quick item of note: If you want to believe Ickypedia, he may have been quoting the phrase from Bull Connor (a Democrat, also)!

https://en.wikipedia.org/wiki/When_the_looting_starts,_the_shooting_starts