The man in his 20s was shot multiple times and transported to hospital but was later declared dead by ambulance technicians.
The officer's injuries were not considered life-threatening.
Another officer was treated for shock.
Montreal police weren't immediately able to say what triggered the incident or how it degenerated into the man being shot.
The investigation was handed over to Quebec provincial police.
All that Montreal officers would say was there was an altercation of some kind between two cops and the man.
"What has happened remains a bit of a mystery to us," said Lt. Ian Lafreniere.
One witness said one officer pulled his gun and the other his nightstick as they were ordering the man to stop.
He began to run and when he turned a corner, at least three gunshots were fired, according to the witness. A perimeter was quickly established.
Initial reports stated both people who'd been wounded had been shot.
Montreal police have been patrolling the city's 68 metro stations since the summer of 2007. The unit includes 133 officers.
The incident occurred at the Bonaventure station, a major transit hub near the downtown core.
Within walking distance of the subway stop is a commuter train station, the VIA rail train station and a bus terminal.
Subway service was briefly halted before being re-established, although trains did not immediately stop at Bonaventure station.
Montreal police have come under scrutiny since a shooting last June when a homeless man was killed during a police operation.
During the same incident an innocent bystander was also struck and killed.
That shooting prompted questions about whether police are too quick to use their weapons and about the transparency of another police force investigating the incident.
In Quebec, it is customary for a separate police force to investigate when another has been involved in an incident where there have been injuries or death.