The officer was shot in the arm, according to local broadcaster KSDK, but the circumstances are not known.
Ferguson, a suburb of St Louis, has suffered outbreaks of violence since the shooting dead of unarmed black teenager Michael Brown on 9 August.
He was shot by white policeman Darren Wilson, leading to protests.
St Louis County Police spokesman Brian Schellman told AP news agency that an officer had been shot but he had no further information.
There have been violent clashes between police and demonstrators since the shooting of Mr Brown, 18.
Last week, police in Ferguson said they would not tolerate further violence after protesters looted shops and harassed officers.
Also last week, a street memorial where Mr Brown was shot was burned down in suspicious circumstances.
Police said the cause of the blaze was under investigation, and local residents suspected arson.
A St Louis grand jury has yet to decide whether or not to charge Mr Wilson with Michael Brown's shooting.
It is unclear when they will make a decision. A separate investigation by the US justice department is continuing.
A police officer has been shot in the strife-torn US town of Ferguson, Missouri, but the officer's condition is unclear, St Louis police say.