Washington DC Police said the man approached the White House's fence just before noon local time yesterday before taking out a handgun and firing several shots.
In a statement, the force said: "Adult male allegedly shot himself along the north fence line of the White House. No other injuries reported. Our natural death squad is on the scene."
No one else was injured, according to police.
President Donald Trump is not at the White House as he is at his Mar-a-Lago estate in Florida.
National news outlets in America report that the man was in a large crowd when he fired the gun.
A video posted to Twitter shows many people running away from the scene.
The man's name has not been released.
There has been a number of security incidents at the White House in recent years.
Most recently, on February 23, a car drove into a security barrier outside the building. A 35-year-old woman was detained.
In March last year a man armed with pepper spray spent more than 16 minutes inside the grounds after jumping the fence.