Officers from Thames Valley Police and British Transport Police were called to reports of a man carrying a firearm at the station at 12.55pm on Tuesday.
Thames Valley Police (TVP) said its armed officers responded and challenged the man before firing shots.
Despite attempts to save the man, he was pronounced dead at 1.44pm.
Police say they do not believe there is any further risk to the public.
The shots were fired in the station square outside the building and police have put a cordon in place around the area.
A few entrances to the building have been closed off, but London Northwestern Railway said there has been no impact on services.
It warned passengers there is reduced access to the front of the station as emergency services remain at the scene.
The Independent Office for Police Conduct (IOPC) has said TVP had referred the incident to the watchdog.
A spokesperson said it had begun an independent probe into the shooting, adding it was “notified by TVP shortly after the incident” and that IOPC investigators have been sent to the station.
The spokesperson added: “Our thoughts are with the family of the man who died and all those who have been affected by this incident.
“Our role in these circumstances is to independently investigate all of the circumstances surrounding this incident including the actions and decisions taken by the police.
“We declared an independent investigation at 2.26pm. It is in its very early stages and no further information is available at this time.”
As of 5pm on Tuesday, a large plastic barrier was erected outside the exit to the station, with an officer standing guard.
Emily Darlington, Milton Keynes Central MP, said: “I was shocked to hear of the events outside Milton Keynes Central Station today. My thoughts are with everybody affected, and I am grateful for the swift action taken by the emergency services to keep the public safe.”
