A person wearing an explosive belt was “neutralised” by soldiers inside the station, media reports say.
The station and the city’s main square, the Grand Place, were evacuated.
In March 2016, 32 people died in attacks on Brussels airport and the metro system which were claimed by the Islamic State (IS) group.
There are no other casualties, Reuters news agency reports.
A police spokesman told the agency: “There was an accident at Central Station. There was an explosion around a person. That person was neutralised by the soldiers that were on the scene.
“At the moment, the police are in numbers at the station and everything is under control.”
Brussels Central Station is one of three main terminals in the city.
According to Belgian newspaper La Libre Belgique, quoting prosecutors, the man who was shot was wearing a rucksack and a bomb belt.
More on this story soon…