Police were alerted to the shooting shortly after 6pm, with several witnesses reporting shots had been fired in the Ulvsunda neighbourhood in Bromma.
"I heard four shots and saw a white car speed off," one witness told the Aftonbladet newspaper.
A neighbour in the normally quiet residential area told the Expressen newspaper that the victim had just returned home when he was shot.
A statement published on the police website said the victim was found in a car bleeding from several wounds in his head. Emergency crews that arrived on the scene tried in vain to save the man's life. He was pronounced dead on the scene.
Several media outlets reported the victim as 52-year-old Mille Markovic, a renowned figure in the Stockholm underworld with a long list of convictions who used to run Club Privé, a sex club allegedly frequented by King Carl XVI Gustaf.
"People were running over there screaming, 'Mille, Mille!'," another witness told Aftonbladet.
A close friend of the reputed gangster later confirmed for the Dagens Nyheter (DN) newspaper that it was Markovic who had been shot.
"Yep, that's right. He's dead, shot with four shots to the head. A clear-cut execution," the friend said.
Police are now on the hunt for a white, older-model car that witnesses saw leaving the area with its lights off.
Markovic had had his share of run ins with the law, often making headlines in the process. He was sentenced to prison on three separate occasions between 1995 and 2009 following convictions for bribery, tax evasion, weapons law violations, and drugs crimes. He was most recently in the news in December when he was acquitted on charges of conspiring to murder his former business partner following a shooting at Club Privé in May 2013.
The club owner and former boxer gained further notoriety following the release of an unauthorized biography about the king in 2010.
The book, entitled “Carl XVI Gustaf - Den motvillige monarken” (‘Carl XVI Gustaf - The reluctant monarch’), included passages describing how the king attended parties held at Markovic's underground nightclubs.
In connection with the book's release, Markovic claimed to have compromising pictures of the king in his possession, but when the images were later released to the media, experts claimed they'd been manipulated.