The incident happened in the eastern town of Sodertalje, about an hour south of Stockholm, the Swedish news agency TT reported.
Police received a report of an armed robbery at a jewelry store and when they arrived at the scene, police engaged in a shootout with the four suspects.
"We were first told that three of them had gone into the store while a fourth stayed in the vehicle," said Sven-Erik Olsson, spokesman at Stockholm County police headquarters. "Shots were exchanged between police and the perpetrators."
"We know that one of the robbers has been shot," Albin Naverberg of the Sodertalje police told the Aftonbladet newspaper.
The suspect was taken to a local hospital, but the extent of his injuries was unclear.
No one else was injured in the incident and the other three suspects fled the scene, police said.