"Initially there are no suspicions of crime," Calle Persson of the Skåne county police told new agency TT.
At 12.24pm police received a call that a man had been shot at a shooting range in Malmö.
Police and medics were sent to the site but could establish that the man was already dead upon their arrival.
"He reportedly died quite quickly," Persson said.
A number of people witnessed the incident, and they have been offered help from the police crisis unit, TT reported.
"Personnel with experience in how to handle people's reactions after accidents and other crises have been sent to support those who were nearby," Persson told the Expressen newspaper.
Police are talking to everyone at the shooting range who might be able to provide helpful information regarding how the man died.
Nothing is yet known with certainty except that no one else was injured.
Persson was unable to provide information about what kind of weapon was used, or any oher details about what happened, pending the completion of the investigation.