The incident happened just after 8.30, in the midst of the morning rush.
The station was busy at the time and large numbers of people fled in panic when they heard the two shots.
The perpetrator, a 27-year-old man not previously know to police, quickly left the scene and headed towards the hospital, where he was soon arrested by police.
“He admitted to it straight away. We have not yet questioned him further and as such we do not have a motive for the incident,” police commissioner Svante Melin told TT.
The victim, who has not yet been identified, was killed with a shotgun, according to Melin.