The constable identified as Vipin Tomar, was rushed to a hospital, where his condition was said to be "critical".
Hailing from Muzaffarnagar in Uttar Pradesh, he was posted at Barakhamba police station and was to get married on February 10, they said, adding, he got his service pistol issued from the police station at around 8 AM today.
"From here he went to a police picket near Minto bridge close to Connaught Place and shot himself in the head. He was rushed to the Ram Manohar Lohia Hospital here, where his condition is said to be critical," said a senior police official.
Tomar joined Delhi Police in 2010 and was deployed as a constable at the Barakhamba police station for the past three years.
His family has been informed about the incident and they are on the way, police said.