Strathclyde Police said the shooting took place at Baird Street Police Station in Glasgow earlier today. No one else is understood to have been involved in the incident.
A statement from the force said: "We can confirm there was an incident at Baird Street Police Office where a firearm was discharged. This resulted in the death of a serving Strathclyde Police officer.
"A full investigation into the circumstances is currently under way and a report will be submitted to the procurator fiscal."
Officers from an independent force, Lothian and Borders Police, have been appointed to oversee the investigation.
Assistant Chief Constable Bernard Higgins said: "It is with great sadness that I have to tell you that a serving Strathclyde Police officer died today.
"No details of the officer involved will be released until family members have been informed.
"Our thoughts are with the officer’s family and friends at this difficult time."
An ambulance left the station shortly before 2pm, however there were no patients inside.
A police officer was standing guard outside the station, which was still open to members of the public.
Brian Docherty, chairman of the Scottish Police Federation, said: "We can confirm that one of our colleagues has died following a firearms incident in Baird Street police station this morning.
"It is too early to speculate as to the circumstances surrounding the tragic death and our thoughts turn immediately to his family who have lost their loved one and colleagues who have lost a friend."