A shooting on a subway train outside Chicago in the US overnight left four people dead, police said.

Three people were pronounced dead at the Forest Park station, an above-ground stop on the Chicago Transit Authority’s Blue Line. The fourth victim died at a hospital.

The suspect got away but was subsequently arrested on a train on a different route, Forest Park police said.

Four people have been shot dead on a subway train in Chicago. (AP)

“A weapon was recovered,” Forest Park Deputy Chief Chris Chin told reporters.

“There is no immediate threat.

“This appears to be an isolated incident on this unfortunate day.”

Police were called around 5.30am local time (8.30pm Monday AEST). Chin said he had no immediate information to disclose about the victims.

Forest Park police Deputy Chief Christopher Chin (centre) said there was no further risk to the public. (AP)

He called the shooting “shocking” and “horrible.”

“This heinous and egregious act of violence should never have occurred, nonetheless on a public transit train,” the Chicago Transit Authority, known as CTA, said.

CTA said security camera video “proved to be vital” in helping investigators.

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Forest Park Mayor Rory Hoskins said his community, population 14,000, is the only Chicago suburb in Cook County where two major train lines end.

“It’s a horrible tragedy that four people are dead on Labor Day weekend,” Hoskins said.

“Our police department and our fire department respond to this location probably more than any other location in our jurisdiction.”

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