The soldier was treated for a non-life-threatening gunshot wound, the Canadian Forces said in a news release.
Another soldier was taken into custody but has not yet been charged. The matter is under investigation by the Canadian Forces National Investigation Service.
The weapon used in the incident was not a military-issued weapon, officials said.
It has been seized as the investigation continues.
Canadian Forces Base Shilo is located in southwestern Manitoba, near Brandon, and is home to the 2nd Batallion Princess Patricia's Canadian Light Infantry and 1st Regiment, Royal Canadian Horse Artillery.