The deceased, identified as Salikrao Patil, was attached with Jaitapur outpost of Mengaon police station, they said.
"Patil had gone to district hospital here in connection with a case of suicide, where he shot himself in the head with his service revolver," Khargone Superintendent of Police (SP) Amit Singh said.
The cop died on the spot, he said.
Patil was reportedly under stress over a family problem, he said, adding a case has been registered and further investigation is on.
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