The woman in her twenties was injured during the swoop at an address in Harlesden Road, north London, shortly before 7pm on Thursday.
The operation was not connected to an earlier incident where a man carrying knives was arrested on suspicion of planning a terror attack near Downing Street, Scotland Yard said.
Police said a 16-year-old boy and a 20-year-old woman were arrested at the address where the woman was shot and a 20-year-old man was detained nearby.
A further woman, aged 43, was arrested in Kent a short while later.
All four are being held at a south London police station on suspicion of the commission, preparation and instigation of terrorist acts.
The injured woman was taken to hospital by London Ambulance Service but has not been arrested due to her condition, which has not been disclosed.
No other injuries have been reported.
Police said the property and people connected to it had been “under observation by counter-terrorism officers as part of an ongoing intelligence-led operation”.
Further searches at linked addresses across London are under way, although Scotland Yard did not reveal the locations.
Following the shooting of the woman, who was “one of the subjects of the investigation”, the incident has been referred to the Metropolitan Police’s Directorate of Professional Standards and the Independent Police Complaints Commission (IPCC) “as a matter of course”, Scotland Yard said.
Video was posted online appearing to show armed police clad in black surrounding a terraced house as gun shots rang out on Thursday afternoon.
Police said the operation was unconnected to the earlier arrest of a 27-year-old man armed with knives in Westminster.
During an “intelligence-led” operation, terror police swooped on the suspect close to Downing Street and the scene of the deadly Westminster Bridge attack.