It happened on the southbound No. 4 train at Union Square around 10:30 p.m. Sunday.
The NYPD said the man sprayed the irritant while people were getting off the train.
Four people were taken to the hospital and four others were treated on the scene. They are all expected to be OK.
There is no word on why the suspect used the spray or where he went after running out of the station.
The MTA says cameras on the subway should help police with their investigation.
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