The gunman was being taken out of a patrol van and walked into Northwest Side police station at around 9.30am when he opened fire, hitting the officers.
Police returned rounds and the suspect was shot. All four were taken to hospital for treatment.
One of the officers remains in a critical condition in hospital, CBS reported. His two colleagues and the suspect have been released, the network said.
It was not immediately clear whether the suspect used his own gun or took a weapon from one of the police officers.
The Independent has contacted Chicago Police Department (CPD) for comment.
“I want to strongly emphasise the inherent dangers that these and all Chicago police officers experience every, every day protecting the residents of Chicago,” Supt David Brown told reporters on Thursday afternoon.
“When they leave home, they leave their loved ones, and put their stars on, and risk everything. They risk everything protecting all of us.”
In a post on Twitter, Mayor Lori Lightfoot asked for prayers for the wounded officers.
“I ask everyone in our city to join me in praying for the Chicago Police officers shot and injured this morning in the line of duty,” she said.
“We’re continuing to monitor the situation and will provide updates as they become available.”
There has been a surge in violent crime in Chicago in recent weeks, although overall crime has gone down, CPD said.
Shootings and murders rose significantly in June compared to the same month last year, according to figures released the force earlier this month.
Some 329 people were killed in Chicago in June, an increase of about 34 per cent from the 246 homicides during the same period last year, the figures state.
Shootings in that period rose by about 42 per cent, from 978 in 2019 to 1,384 in 2020.
President Donald Trump has in recent weeks sent federal agents to major cities across the US in an attempt to quell unrest amid ongoing Black Lives Matter protests.
He has also floated plans to send the federal personnel to Chicago as part of an urban crime fighting strategy.
Chicago mayor Lori Lightfoot, who frequently blasts Trump on Twitter, said she would do everything in her power to ensure that did not happen.
“If there was anything that happened like that, we would be making sure that we did everything possible to stop that in its tracks,” Ms Lightfoot told reporters earlier this week.
“These are not troops. Troops are people who come from the military. That’s not what’s coming to Chicago, and I’ve drawn a very firm line against that.”