The yet-to-be-identified intruder tried to enter the Mint Road headquarters of the central bank at around 4:15 pm.
An RBI spokesperson said the security personnel captured the man who fired a shot in the melee.
Nobody was, however, harmed in the firing.
The MRA Marg Police said the man is being questioned. Details about the trespasser's identity and his motive behind the incident are awaited.