Thames Valley Police said armed officers had responded to the incident and challenged the man before "shots were fired by police".
A spokesman added: Life-saving actions were immediately taken at the scene, but the man was pronounced dead at 1.44pm."
There was not believed to be any further risk to the public. Retired Alan Brockbank, 70, who lives above Milton Keynes Central station, said: "All I heard sounded like something heavy was dropped, it didn't sound like a shot or anything."
When police arrived 10 minutes later, he recalled: "Then they were all around the front of the building actually we could see the person lying on the floor and they were trying to resuscitate him."
He said the man receiving CPR was partly obscured by the awning at the station exit, leading him to believe the incident was simply a heart attack or other health scare. Alan's retired wife Edith, 67, said: "There was all sorts of activity trying to get people back.
"We didn't connect the bang with what was happening.
SHOCKED
"I looked to see what could have been dropped and couldn't see anyth...