It happened around 12:20 p.m. at 40th Street and 7th Avenue.
The man's gun apparently discharged and hit him in the leg.
Sources tell Eyewitness News it looked like the firearm went off inside the subway station. He then came up to the street level and then re-entered the subway station from across 7th Avenue asking police for help.
Sources say he is not cooperating with authorities and will likely face charges.
There was a large police and emergency response at Times Square subway station.
Train service was not affected by the incident.
It came just hours after another scary incident at the station where police say a 42-year-old woman was shoved into an oncoming 1 train.
Woman pushed into subway train arriving at Times Square
Another woman fled the scene.
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