Thames Valley Police said in a statement: “Officers from Thames Valley Police and British Transport Police were called to reports of a man carrying a firearm at Milton Keynes railway station, Elder Gate, Milton Keynes, at 12.55pm today.
“Armed officers from Thames Valley Police responded and challenged the man, before shots were fired by police.
“Life-saving actions were immediately taken at the scene, but the man was pronounced dead at 1.44pm.
“There is not believed to be any further risk to the public at this time.
“We will provide more details as soon as we are able to.”