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A witness described hearing five shots near Sudbury Hill Station, Greenford, at around 6.40pm on Wednesday.
The 19-year-old victim was found with gunshot wounds and taken to a west London hospital, police said. His condition is not known.
No arrests have been made and detectives are pursuing the gunman.
Michael, 44, who hosts the Murder Mile UK true crimes podcast, said he was inside Sudbury Hill station when the shooting occurred.
He told the Evening Standard: “I heard five strong blows overlapping, one per second.
“There were no screams or noises, I didn’t see anyone running. Traffic began to slow and people began to congregate.
“Interestingly, the shots sounded like someone hitting a piece of metal.”
Images and videos posted on Twitter show several ambulances parked behind a large police cordon around the station.
Another claimed the shots had been heard two miles away in Greenford.
Trains do not stop at the station and Greenford Road is also closed.
The shooting comes days after Jamalie Maleek Deacon Matthew, 17, was stabbed to death outside the Northwick Park station, just over two miles away.
The aspiring lawyer was found with stab wounds outside the station at around 3.50 pm Thursday.
He was pronounced dead at the scene. In a statement, her Harrow family said they were “deeply saddened and completely devastated.”
They added: “We all knew of his ambition to study law, accepting the tragedy that has unfolded still feels so surreal.”
Anyone with information on the shooting should call 101 or tweet @MetCC, quoting CAD 5975 / 18NOV. Alternatively, they can call Crimestoppers, anonymously, on 0800 555 111.