After opening fire at the War Memorial, witnesses said the gunman escaped in the direction of the parliament buildings, and multiple reports said there was an exchange of gunfire in the parliament headquarters.
The Canadian Broadcasting Company reports police have confirmed that one gunman was shot and killed in the central parliament building.
A spokesman for Prime Minister Stephen Harper says he left the area of the shooting and is "safe."
The wounded soldier was taken to a hospital. His condition is not known.
Incident two days ago
The shooting comes two days after an Islamic convert in a car ran down two Canadian soldiers, killing one, near Montreal.
Witnesses said a second man may have been working with the shooter. Both men wore scarves with the same design, wrapped around their heads.
Reporters at the scene said police are treating the situation as if there is more than one gunman.
Gunfire was still being reported about an hour after the incident began at 1500 UT (10:00 a.m. EDT).
Authorities had raised the threat level in the country from low to medium, local media reported.
No one had yet claimed responsibility for the attack.