The man was shot apparently while trying to board a train on Friday morning at Stockwell station in south London.
The circumstances of the shooting were not immediately clear.
London's Metropolitan Police declined to comment further on the incident, which comes a day after London's transport system was attacked by four apparently failed attempts to repeat the deadly blasts of 7 July.
British Transport Police said the Northern and Victoria Tube lines, which pass through Stockwell, had been suspended.
Passengers said that a man - described as South Asian - ran on to a train. They said police chased him, he tripped, then they shot him.
"They pushed him on to the floor and unloaded five shots into him. He's dead," witness Mark Whitby told the BBC. "He looked like a cornered fox. He looked petrified," said Whitby.
Whitby said it did not look like the man was carrying anything but said he was wearing a thick coat that looked padded.
"We were on the Tube, and then we suddenly heard someone say 'get out, get out' and then we heard gunshots," said passenger Briony Coetsee.
Police said several Tube lines
have been suspended
Alistair Drummond, of the London Ambulance Service, said paramedics had been called to the station at 10.10am (0910 GMT).
"There were at least 20 of them (officers) and they were carrying big black guns," said Chris Wells, 28. "The next thing I saw was this guy jump over the barriers and the police officers were chasing after him and everyone was just shouting 'get out, get out!'"
Armed police have also surrounded East London Mosque, on Whitechapel Road in Aldgate, and told residents to stay indoors, after there were reports of a bomb threat.
The large, modern mosque was surrounded by police officers some of whom were armed.
A statement posted on Friday on an website in the name of an al-Qaida-linked group claimed responsibility for the latest blasts.
The group, Abu Hafs al Masri Brigade, also claimed responsibility for the 7 July bombings in which 52 people and the four bombers died.
The statement's authenticity could not be verified and there has been doubt cast over the veracity of the group's past claims.
"Our strikes in the depths of the capital of the British infidels our only a message to other European governments that we will not relent and sit idle before the infidel soldiers will leave the land of the two rivers," said the statement.
The "two rivers" in the statement refer to Iraq's Euphrates and Tigris rivers.
Prince Faisal(R) believes al-Qaida
are behind the London bombings
Saudi Arabia's ambassador to London and former spy chief Prince Turki al-Faisal said the attack bore the classic taint of Osama bin Laden's al-Qaida network.
"They seem to have all the hallmarks of such attacks - the modus operandi, the devastation, the sheer cowardice associated with them and the attack on innocent civilians. These are all part and parcel of al-Qaida," he told BBC radio.
War on Europe
On Tuesday, another statement was issued in the name of the same group threatening to launch "a bloody war" on the capitals of European countries that do not remove their troops from Iraq within a month.
"While we bless these strikes, our next attacks will be hellish for the enemies of God," said the latest statement.
"We will strike in the hearts of European capitals, in Rome, in Amsterdam and in Denmark where their soldiers are in still in Iraq pursuing their British and American masters," the statement added.
"While we bless these strikes, our next attacks will be hellish for the enemies of God"
Al-Qaida statement on internet
The Abu Hafs al Masri Brigades are named after the the alias given to Mohammed Atef, Osama bin Laden's top deputy who was killed in a US airstrike in Afghanistan in November 2001.
Experts have said that the group has no proven track record of attacks, and note it has claimed responsibility for events in which it was unlikely to have played any role, such as the 2003 blackouts in the United States and London that resulted from technical problems.