The incident happened on Friday afternoon while the train was near West Lake Street and North Cicero Avenue on the city's West Side.
SEE ALSO | Drive-by shooting: Man fatally shot on Cragin sidewalk, Chicago police say
Police said just before 5 p.m., a man with a gun tried to rob another passenger. That victim then pulled out his own gun, and there was an exchange of gunfire.
The suspect was shot in the leg and the victim was not hurt, police said.
Police said the victim has a valid FOID card and Concealed Carry License.
INTERACTIVE SAFETY TRACKER Track crime and safety in your neighborhood