For two independent Lévy processes ξ and η and an exponentially distributed random variable τ with parameter q>0, independent of ξ and η, the killed exponential functional is given by V_q,ξ,η≔∫₀^τe^−ξ_s−dη_s. Interpreting the case q=0 as τ=∞, the random variable V_q,ξ,η is a natural generalisation of the exponential functional ∫₀^∞e^−ξ_s−dη_s, the law of which is well-studied in the literature as it is the stationary distribution of a generalised Ornstein–Uhlenbeck process. In this paper we show that also the law of the killed exponential functional V_q,ξ,η arises as a stationary distribution of a solution to a stochastic differential equation, thus establishing a close connection to generalised Ornstein–Uhlenbeck processes. Moreover, the support and continuity of the law of killed exponential functionals is characterised, and many sufficient conditions for absolute continuity are derived. We also obtain various new sufficient conditions for absolute continuity of ∫₀^te^−ξ_s−dη_s for fixed t≥0, as well as for integrals of the form ∫₀^∞f(s)dη_s for deterministic functions f. Furthermore, applying the same techniques to the case q=0, new results on the absolute continuity of the improper integral ∫₀^∞e^−ξ_s−dη_s are derived.