U.S. Customs and Border Protection says in a statement that the man stopped his car before the U.S. inspection booth around 3 a.m. Sunday and starting walking towards border officers while waving what turned out to be a replica handgun.
It says the CBP officers ordered him to drop the weapon but he then pointed it in their direction, prompting one officer to fire three shots and a second officer to fire a single round.
In an updated statement released Sunday evening CBP spokesman Kris Grogan said one round hit the man in the arm.
The agency says the suspect, who hasn't been identified, was treated and released from hospital before being taken into custody.
It also says the man has had "previous encounters" with Canadian law enforcement.
The statement says border and Department of Homeland Security officials are investigating along with Detroit police.
Windsor police, meantime, say the man was seen waving a handgun in the parking lot of a local McDonald's just 20 minutes before the incident at the border crossing.
They say officers arriving on scene ordered him to drop the weapon but he refused, and then pointed his gun at them.
According to the police statement, the man asked the officers "Why haven't you shot me yet?"
The statement says the officers tried to talk the man into surrendering, but he got back into his SUV and drove off before the officers could get back to their cruisers.