One witness described hearing five gunshots ring out near Sudbury Hill Station at about 6.40pm on Wednesday.
The 19-year-old victim was found suffering bullet wounds and taken to a west London hospital, police said. His condition is not known.
No arrests have been made and detectives are hunting the gunman.
Pictures and videos posted on Twitter show a number of ambulances parked behind a large police cordon thrown up around the station.
One user wrote: Possible shooting in Greenford. Heard five close shots by Sudbury Hill Station. Ambulances on the scene.
Another claimed the gunshots had be heard in two miles away in Greenford.
Trains are not stopping at the station and Greenford Road is also closed.
The shooting comes days after Jamalie Maleek Deacon Matthew, 17, was stabbed to death outside Northwick Park station, just over two miles away.
The aspiring lawyer was found suffering from stab injuries outside the station at about 3.50pm on Thursday.
He was pronounced dead at the scene. In a statement, his family from Harrow said they were deeply saddened and utterly devastated.
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They added: We all knew of his ambition to study law, coming to terms with the tragedy that has unfolded still feels so surreal.
Anyone with information about the shooting is asked to call 101, or tweet @MetCC, quoting CAD 5975/18NOV. Alternatively they can call Crimestoppers, anonymously, on 0800 555 111.
- Sudbury Hill shooting: Teenager, 19, gunned down outside west London tube station Evening Standard
- Harrow shooting: Man, 19, shot outside Sudbury Hill Station as ‘five gunshots’ heard Mirror Online
- Gunman on loose as 19-year-old …
