At 3.04pm on Saturday, 11 December police were called to reports of a man with a firearm seen to enter a bank and bookmakers in Marloes Road, W8.
The man was then seen to get into a vehicle and leave the area.
At 3.19pm armed officers stopped a vehicle at the junction of Kensington Road and Palace Gate, SW7.
Shots were fired and a man sustained gunshot wounds.
The London Ambulance Service and London Air Ambulance were called and the man was treated at the scene.
Despite the best efforts of the emergency services, he was pronounced dead at 4.08pm
Efforts are under way to confirm the man’s identity and to inform his next of kin.
The Met’s Directorate of Professional Standards has been informed and the incident has been referred to the Independent Office for Police Conduct.
A number of road closures are in place in the local area and are likely to remain in place for some time. The public are advised to avoid the area.
The incident is not being treated as terrorism.