A counter-sniper shot the man as he emerged from Fox affiliate WBFF and ignored police orders to take his hands out of his pockets, police spokesman T.J. Smith told a news conference.
WBFF reported on its website that the man broke into the station demanding that it cover a story about an unspecified government conspiracy.
Smith said the man had "displayed something that appeared to be wires and some other things inside his jacket that appeared to be some kind of explosive device."
He said the man appears to be in his 20s. He has not been identified.
WBFF, which is owned by Sinclair Broadcast Group (SBGI.O), said a bomb robot scanned the man for nearly an hour before officers removed his clothing, picked him up and carried him to an armored police vehicle.
Station News Director Mike Tomko said on the station's website that the man was wearing a white, one-piece panda suit with a surgical mask and sunglasses.
"He had a flash drive, said he had information he wanted to get on the air. He compared it to the information found in the Panama Papers," Tomko said, referring to a massive leak of offshore financial data. "Apparently he had made some threats before."
A brief video on the station's website showed the man walking out of the station. No police or station employees were injured.
The station said it evacuated the building after the bomb threat and a fire. The station said firefighters put out a fire in the gas tank of a car in the station's parking lot.