The man allegedly approached Kirwan Police Station at Kirwan armed with a knife, just after 10pm yesterday.
Detective Acting Superintendent Jason Brosnan said police officers produced both a firearm and a Taser.
"The officers from inside have responded and challenged him, just in front of the station," he said.
"Both the Taser and firearm have discharged when the male failed to comply with direction."
Officers rendered first aid but the man died at the scene.
Brosnan said the weapon was not a machete-style knife.
He said officers do not know why the man may have come to the station.
An investigation is under way by the Ethical Standards Command overseen by the Crime and Corruption Commission.
Police said investigations are ongoing.
