Ohio's 12th congressional district in Westerville, Ohio, U.S., August 7, 2018.
With 100 percent of precincts reporting, Decision Desk tweeted at 10:40 p.m. eastern that Balderson had a 1,766 vote lead.
Trump was asked by reporters about the OH race at a dinner with business leaders at his golf club in Bedminster, N.J., and simply replied, "We'll see what happens".
Outgoing Republican Gov. Rick Snyder had backed Calley, but Trump is more popular there with the GOP base in the state.
Strategists in both parties admit that both candidates were fairly mediocre, making the OH race essentially a test of a generic Democrat versus Republican that didn't have as many local vagaries as some other special elections.
Voters are heading to the polls to decide key races including governor where seven Republicans and five Democrats are seeking their party's nomination. But only OH will send someone to Congress immediately. He also called out Trump's brand of smash mouth politics - a move that many see as an attempt to court independents and anti-Trump Republicans.
Midterm elections will have higher turnout and could have slightly different electorates than these special election contests, and Democrats will need to win at least a few seats like this one if they're going to get to a House majority in November.
Mr Trump won the 12th Congressional District in 2016 by more than 11 percentage points and Republicans have held it since 1983. "Strong on Crime, Border & Military", the president tweeted on the eve of the election.
Whoever wins Tuesday will hold the seat until early 2019.
Laura Kelly will have a tough battle in the Republican stronghold of Kansas, but if she faces Mr Kobach she could play on his extremist profile to target centrist Republicans. He voted for Democrat O'Connor "so we don't have a one-party government".
The 12th district has numerous hallmarks of areas that could be weak spots for Republicans this cycle - well-educated, relatively affluent suburbs that may have soured on Trump and are looking to register their frustration through their midterm vote.
Balderson said simply that it was an honor and "incredible" to appear with and be supported by the president. Provisional votes remained to be counted.
Democrats had hoped a victory by O'Connor in the district that has been represented by a Republican for more than three decades would signal a coming Blue Wave in November.
O'Connor and his Democratic allies railed against the tax plan, casting it as a giveaway for the rich that exacerbates federal deficits and threatens Medicare and Social Security.
O'Connor dominated Balderson on the local airwaves. The Republican campaign arm and its allied super PAC were forced to pick up the slack, spending more than $4 million between them.
The special election will fill the seat vacated by Rep. Patrick Tiberi (R), who is retiring. The field included Fayrouz Saad, who would be the first Muslim woman in Congress.
Former Democratic Party legislative leader Gretchen Whitmer will face off in the MI gubernatorial race against Trump ally Bill Schuette.
Hours before polls opened, Trump again weighed in on Twitter, casting James as "a potential Republican star". Debbie Stabenow will take on military veteran and business executive John James, who won the Republican nomination.