Tor Grøttum of the Oslo police told AFP the elk had been shot inside the rail tunnel after a drama lasting more than two hours.
He said the elk, known as a moose in North America, had disrupted traffic from around 9.30 am as it ran along in the middle of the E18 Mosseveien highway — the main road from Oslo towards Sweden.
"He was running along quite calmly, but a moose in the road can always do a lot of damage," Grøttum said, adding that no one had been hurt.
The elk had then found its way into Oslo's main rail tunnel, following the tracks past the principal station, Oslo S, on the east side of the city and then towards the large National Theatre station on the west side.
All trains to and from the capital were halted while authorities attempted to find the moose in the complex network of tunnels.
It was finally shot just before noon near the National Theatre station and was in the process of being lifted out, Grøttum said. Media reports said it was killed by hunters who had joined firemen in searching for the beast.