Ten people were hit directly by gunfire, including five hospitalised in critical but stable condition, authorities said.
Police said 13 more people suffered from smoke inhalation or were otherwise injured in the chaos as panicked riders fled the smoke-filled subway car.
New York Police Department (NYPD) commissioner Keechant Sewell said a U-Haul van believed to be connected to the shooting was later located in Brooklyn, but the perpetrator remained at large several hours after the shooting.
At an early evening news briefing, police named a "person of interest" in the investigation as Frank James, who investigators believed had rented the U-Haul vehicle.
Police said they recovered the key to the van at the crime scene and it had been rented in Philadelphia.
NYPD chief James Essig said the gunman had fired 33 shots. Police later recovered a Glock 17 nine-millimeter handgun, three additional ammunition magazines and a hatchet from the scene.
Police said the incident in Brooklyn was not being investigated as an act of terrorism, with no indication of a motive at this stage.