This will depend on the visa you have now. In many cases you can adjust status in the US however under some conditions this is not possible. For example if you are here on a student visa (F1), you may be able to adjust status in the US rather than go through consular processing. Each case is different and you should consult with an attorney about your individual circumstances.
If I am already in the United States on another visa type, will I have to leave the United States to go through the EB-5 visa application process?
No. If you are in the U.S. on a valid visa when your EB-5 petition is approved, you may adjust your status to that of immigrant in the U.S.