The man, who is in his mid-twenties, was found shortly after 2am in the Söderkulla area of Malmö, on a road that crosses the southern Swedish city's inner ring road.
He was taken to hospital, where he later died, police said on Thursday morning.
Police said traces of gun violence, such as bullet casings, had been found on another street nearby, where they believe the shooting took place.
No suspect had been arrested by 7am.
The victim has been identified and his relatives have been notified.
A total of 25 people have been killed in the southern Skåne region this year, reports regional newspaper Sydsvenskan. Most years the county sees a murder rate of around 10-17 people.
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