A large section of the city centre was cordoned off. Police believe the shooter could still be in the area.
The 23-year-old victim was brought to hospital with serious injuries. According to witnesses, two shots were fired and the man was hit in the throat.
"He has lost some feeling from the neck down, but I can't say if it is life threatening or not," said Jonas Palm of the Stockholm police.
The shooter is wanted over attempted murder.
So far, police have made no arrests, but said they have a good description of the suspect and high hopes of finding the person.
The shooting happened under one of the bridge crossing Kungsgatan, a busy street in the Stockholm city centre.
Police were called around 4 am on Sunday morning. Since there were patrols nearby the police were able to take immediate measures to hinder suspects from leaving the area.
"We have indications of what triggered the incident but cannot say anything about it since the investigation is at a sensitive stage," said Mikael Ericson, a police spokesman.
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He confirmed that the police are treating the case as attempted murder and have launched a preliminary investigation.
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