St Louis broadcaster KSDK reported that the officer was shot in the arm on Saturday. The Missouri Department of Public Safety said that the officer's injuries were not life threatening.
"A search is under way for the suspect in the shooting of the officer," the department said, adding the shooting took place at a community centre slightly removed from main protest areas.
Ferguson, St Louis suburb, saw days of racially charged protests after African-American teenager Michael Brown was shot dead by a Caucasian police officer, Darren Wilson, on August 9.
On Thursday, Ferguson police chief Tom Jackson issued a video apology to Brown's parents following weeks of heavy criticism and calls for his ousting.
The apology was not well-received among some and led to reported protests hours after it was issued.
Since Brown's death, there have been outbreaks of violence during weeks of protests in Ferguson, a predominantly African-American community of 21,000.
Many have called for Jackson to be fired for what they saw as a heavy-handed response in the aftermath of the killing.
The Reuters news agency reported that police have set up roadblocks in the area of Saturday's shooting.