The motive for the attack that happened yesterday was not immediately clear, but police said preliminary evidence ruled out a link to terrorism.
Shortly after 5:00 pm (2100 GMT), the shooter walked into 201 Varick Street in the SoHo neighborhood of Manhattan, a building that houses an immigration court and a veterans' office.
He approached the metal detector in the security screening area, where he "immediately pulled out a gun and shot the security guard at close range," said New York Police Chief James O'Neill.
"The suspect is dead on the scene," O'Neill told reporters.
The guard was taken to Lenox Hill Hospital suffering from cardiac arrest, a spokesman for the fire department said.
He was declared dead on arrival, a spokeswoman for the hospital told AFP.
Police said they were working closely with federal authorities, including the Department of Homeland Security and the FBI, to determine the suspect's motive.
"At this point, there is no indication of a nexus to terrorism," O'Neill told reporters at the scene.
The 12-story Art Deco building was built in 1929 and houses a variety of offices, including a US Postal Services facility.
The identities of the victims were not immediately confirmed.
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