A spokeswoman for the MoD said it was aware of the incident at Castlemartin Ranges in Pembrokeshire.
A firing notice for Castlemartin on the Government’s website suggests live firing was due to take place on the range from Monday to Friday.
The notice said the road from Bosherston to St Govan’s Chapel and the footpath from St Govan’s Head to Broadhaven would be closed every day.
It adds that night firing was due to take place on Tuesday and Thursday.
The MoD spokeswoman added: “We are aware of an incident at Castlemartin Ranges. This is still being investigated and therefore it would be inappropriate to comment further.”
According to the Visit Pembrokeshire website, a large part of the Castlemartin peninsula was taken over by the Royal Armoured Corps (RAC) tank range in the late 1930s and further developed during the Cold War period.
It is now the only UK Army range available for armoured units for direct-fire live gunnery exercises.
A spokeswoman for Dyfed-Powys Police said: “Dyfed-Powys Police were called to an incident at MoD Royal Armoured Corps range in Castlemartin range at 3.30pm today.
“This is being investigated and a further update will be provided when appropriate.”
A 21-year-old soldier died at Castlemartin in 2012 after being shot in the head while relaxing at a safe location just outside the training range.
A 2013 inquest into the death of Michael “Mike” Maguire heard he was hit in the temple by a single machine gun bullet fired by a fellow soldier during a training exercise and that the fatal bullet was fired one kilometre (0.6 miles) away inland towards another group of recruits on a live fire exercise.
All live fire should have been safely aimed out to sea, the inquest heard.
The inquest jury ruled Ranger Maguire, who was a member of the 1st Battalion, The Royal Irish Regiment, had been unlawfully killed.