The diplomatic protection officer had been on duty in the Grosvenor Square area on Saturday and is described as "stable" in hospital.
A Scotland Yard spokeswoman said the incident had not been outside the US Embassy in the square.
She said: "The officer shot himself in the leg. The incident occurred whilst he was on duty in a police vehicle."
She added that no one else had been injured and the Metropolitan Police's Directorate of Professional Standards would investigate the incident.
The matter has also been referred to the Independent Police Complaints Commission as is usual when a gun is discharged.
She added: "The officer will be relieved of operational firearm duties while the investigation is carried out."
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