The Alberta Serious Incident Response Team says the armed man then jumped into a vehicle and drove at officers before being hit by one bullet.
The shooting happened at a rural home near Medicine Hat on Saturday.
A Medicine Hat police officer had gone to the property as part of a missing persons investigation.
Investigators say the officer was confronted by someone who pointed a gun at him and a standoff ensued.
The Medicine Hat News quoted sources as saying the missing person was an area businessman who was trying to sell an SUV and who had just given a test drive.
ASIRT, which investigates officer-involved shootings in Alberta, says a gun was found with the man killed by police.
No names have been released.
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