Metra police said all inbound and outbound trains were halted as they investigated.
Chicago police said SWAT officers responded after a witness reported they saw a shell casing inside. Police said they learned an unknown person fired a gun at a door while inside Ogilvie.
SWAT searched the building at around 9:38 a.m. but found nothing, according to Chicago police.
No injuries were reported and no one is in custody.
An investigation by Chicago police is ongoing.