Police have not yet arrested anyone in connection with the incident.
"Witnesses have pointed out several people who left the site, "said Åsa Wallentin, press spokesperson for Stockholm police.
The first calls to police were made at 22.49, with witnesses reporting three to five shots being fired. The two injured people were found outdoors, but it is unclear how serious their injuries are.
Police technicians worked at the scene through the night, with the area closed off to the public.