The incident occurred at a police shooting range near Copenhagen.
The Independent Police Complaints Authority, which is investigating the incident, said the injured trainee is not in a critical condition.
“The person shot themselves in the thigh, but it is not critical,” special consultant Janus Rasmussen said.
The police authority is involved in the case as a matter of standard procedure following shooting-related injuries resulting from police work.
“We were informed that a live shooting incident took place in Copenhagen and proceeded there to investigate,” Rasmussen said.
The authority is based in second city Aarhus.
The individual involved in the accident was admitted to Copenhagen’s Rigshospitalet for treatment.