The 40-year-old allegedly approached the two transport police officers at a shopping centre car park in Bankstown, southwest Sydney, on Saturday night.

"Police will allege the man produced a knife and ran towards them, threatening the officers," NSW Police said in a statement.

Police fired shots and the man suffered a leg injury. He has been taken to Liverpool Hospital under guard.

The police statement said a critical incident team will now investigate, and the probe will be independently reviewed.

Australian Associated Press