According to local media, shots were fired at the 36th Street station in Sunset Park around 0830 local time (1330 GMT) on Tuesday morning.
Photos from the scene show bloodied passengers lying on the station floor. Undetonated explosive devices were also found on the scene.
The suspected gunman remains on the loose.
Described as a man in an orange construction vest and possibly wearing a gas mask, he is believed to have fled the scene. No motive for his actions has yet been identified.
A spokesman for New York City Mayor Eric Adams called on New Yorkers “to stay away from this area for their safety and so that first responders can help those in need and investigate”.
At least four train lines are also said to be delayed in both directions.
New York’s fire department told the BBC it originally received a call about smoke inside the station.
But officials arrived to find several people shot and injured.
Police have said there are no active explosive devices inside the station at this time.