The Canadian Forces say the incident took place early Sunday at Canadian Forces Base Shilo, located about 200 kilometres west of Winnipeg.
They say the soldier who was shot suffered non-life-threatening injuries.
The Forces also say the gun involved has been seized, and that it is not a military-issued weapon.
Maj. Greg Poehlmann, a military spokesman, won't say where on the base the shooting happened or what type of gun was seized.
No charges have been laid, and military police continue to investigate.