Nottinghamshire Police said the officer approached two suspects in Angel Row shortly before the incident at 4.50am on Sunday.
He is being treated in hospital for a wound to his foot.
The force said a firearm has been recovered. Angel Row is currently closed, and a large police scene remains in place.
A man and woman fled the scene and have not been found. Sky correspondent Shamaan Freeman-Powell from the scene said Sky News understands that Nottingham police are “aware of who these two individuals are” but an investigation is still under way.
She added there is substantial police presence in Nottingham “throughout the city centre”, as well as around the cordon.
Assistant Chief Constable Claire Rukas, of Nottinghamshire Police, said: “This is a shocking incident and a sobering reminder of the potential dangers faced by officers as they work to protect and serve the public.
“As we investigate what happened and work to apprehend the individuals involved, my thoughts today are with the injured officer, his family and colleagues.
“I also ask that anyone with additional information shares this with us without delay. Even the smallest bit of information could make all the difference to this investigation.”
More from Sky News:
Daniel Dubois retains WBO title
Over half a million protest across France
The Police Federation of England and Wales said the shooting was “a stark reminder of the dangers police officers face every day while protecting the public”.
