Belgian troops patrolling Brussels Central Station "neutralised" a person after a small explosion on Tuesday, a police spokesman said, adding that there were no other casualties and the situation was under control.
He could not confirm media reports that the person had been wearing an explosive vest and it was not clear whether the person shot was still alive.
The station and the adjacent historic downtown area, packed with tourists and locals on a hot summer evening, was partly evacuated as police set up a security cordon, witnesses told Belgian media.
The city has been on high alert for more than 18 months since Brussels-based Islamic State militants carried out attacks in Paris that killed 130 people there in November 2015 and later bombed Brussels airport and the city's metro in March last year.
The police spokesman said: "There was an accident at Central Station. There was an explosion around a person. That person was neutralised by the soldiers that were on the scene.
"At the moment, the police are in numbers at the station and everything is under control."