Emergency teams were called out to the station entrance off Market and 5th at around 9:30 p.m.
They roped off the area to investigate.
Police say they found a victim suffering from gunshot wounds, and despite lifesaving efforts, the victim was pronounced dead on scene.,
No arrests have been made yet. Anyone with information is asked to call the SFPD Tip Line at 1-415-575-4444 or Text a Tip to TIP411 and begin the text message with SFPD.