The shooter is dead at the scene. The wounded officer has been taken to a hospital. His condition is unclear.
The New York Police Department says it happened yesterday evening at a Manhattan building that houses an immigration court, a passport application centre and the Department of Labor.
Police say the reason for the shooting is unclear.
Police say the man walked through a side entrance of the building, pulled out a firearm and shot the private security guard. They say the guard had a weapon but it doesn't appear he was able to fire.