The gunman was heard shouting "The English are waking up!" in French as police dragged him away.
Marois was whisked off the stage by guards while giving her speech and was not injured.
It was not clear if the gunman was trying to shoot Marois, whose party favors separation for the French-speaking province from Canada.
Lieut. Guy Lapointe of the Quebec provincial police said earlier the suspect was taken to a hospital during the interrogation, but his life was not in danger.
"We can't establish at this point what the motive or intent was, was he targeting Madame Marois? I'll tell you a lot of things were said by this individual after they arrested him, in French and English," Lapointe said.
Police had dealt with the suspect previously for a minor incident, Lapointe said.
Marois was giving her victory speech to hundreds of supporters at the Metropolis auditorium. She had just declared her firm conviction that Quebec needs to be a sovereign country before she was pulled off the stage.
"What's going on?" Marois told her security detail as they grabbed her arms and dragged her away during the celebration of her party's victory in Tuesday's provincial election.
Police initially said the gunman made it into the building, but now believe he opened fired just outside in the back alley. The gunman then set a small fire before he was captured, police said. Lapointe said he didn't put up any resistance.
Marois returned to the stage after the shooting and asked the crowd to disperse peacefully, and then seemed to finish her speech. She left the hall amid a tight cordon of provincial police bodyguards.
The attack shocked Canadians who are not used to such violence at political events.
The suspect was a heavy-set man wearing a black ski or balaclava mask, glasses and a blue bathrobe over a black shirt and black shorts. Police didn't identify what weapons he had, but camera footage showed a pistol and a rifle at the scene. Police said there is no reason to believe anyone else was involved.
Police said a 48-year-old man was pronounced dead at the scene and a 27-year-old man was wounded but would survive. A third man was treated for shock. Police didn't identify the victims, but they worked at production company Productions du Grand Bambou Inc, a person answering the phone at the Montreal company confirmed.
The crowd was apparently unaware of what happened when Marois was whisked off the stage.
Marois said her thoughts were with the family of the victim in a statement issued early Wednesday.
"Following this tragedy all Quebecois are mourning today before such a gratuitous act of violence," she said. "Never will a society such as ours let violence dictate its collective choices."
Canadian Prime Minister Stephen Harper said in a statement that he was "angered and saddened" by the shooting.
"It is a tragic day where an exercise of democracy is met with an act of violence," Harper said. He added, "This atrocious act will not be tolerated and such violence has no place in Canada."
Harper said he spoke with Marois.
Jean Charest, who lost to Marois in the election after ruling for Quebec for nearly a decade, said he was he was "very saddened" that the shooting occurred and that it took place at a political event.
Police said investigators did preliminary search of the suspect's vehicle to determine whether it contained explosives and were going through it again in their hunt for clues.
The separatist party won Tuesday's provincial election but failed to win a majority of legislative seats. Though the Parti Quebecois wants the province to break away from Canada, its victory is unlikely to signal a new push for independence. Opinion polls show little appetite for a separatist referendum. Previous referendums on separatism had been rejected by voters in 1980 and 1995.
Marois herself has left much uncertainty about if and when a referendum would be held. But her party will push for more autonomy from the federal government.
The attack took place just after Marois began speaking in English a rare occurrence in a speech at a partisan PQ event. She had promised English-speaking Quebecers that their rights would be protected, following an emotionally charged campaign that saw her party focus on language-and-identity issues. Earlier in the evening, people in the crowd booed when they heard Charest speak English in his concession speech, ending nearly 10 years in power. Analysts said the PQ victory had more to do with weariness with the Liberals after three terms.
The PQ has said it would seek a transfer of powers from the federal government in areas like employment insurance and immigration policy. If those measures are rejected, the party believes it would have a stronger case for independence.
Without a majority in the Quebec Assembly, however, the PQ will need to work with other parties to pass legislation, and the results will undermine efforts to quickly hold a referendum on separation.
The PQ had just under 31 percent of the vote and 54 seats in the provincial legislature, falling short of a majority in the assembly. The Liberals had about 31 percent and 50 seats.
A new party, Coalition Avenir Quebec, followed with 27 percent and 19 seats. The separatist Quebec Solidaire party won 2 seats.
A party needs to obtain 63 of the 125 seats to form a majority.
Before the shooting incident, Charest, who lost his own assembly seat, had congratulated Marois for becoming Quebec's first woman premier. He noted that she would be leading a minority government and said the results speak "to the fact that the future of Quebec lies within Canada." He did not indicate whether he intended to step down as Liberal leader after the defeat.
Although a number of candidates from the smaller parties are separatists, a minority government means "the more radical things in the party platform are going to be dead on arrival," said Bruce Hicks, a political science professor at Concordia University in Montreal.
Charest called the election more than a year before he had to, citing unrest in the streets due to this spring's student protests over tuition hikes. The most sustained student protests ever to take place in Canada began in February, resulting in about 2,500 arrests.
Marois, 63, was first elected to Quebec's National Assembly in 1981. She retired in 2006 but returned to become PQ leader a year later after her predecessor lost to Charest in an election that landed the PQ in third place. She in turn lost to Charest in 2008.
There has been an unusual series of high-profile shootings in Canada this year, including one at a busy Toronto shopping mall popular with tourists. Canadians have long worried that U.S.-style gun violence could become more common.
It's not the first time there has been political violence in Quebec. In the 1970s Canadian soldiers were deployed because of a spate of terrorism by a group seeking independence from Canada. In 1970, the militant FLQ demanded "total independence" from Canada. Its members kidnapped and killed Quebec's labor minister and later abducted, then freed, a British diplomat.
The subsequent "October Crisis" was considered one of the darkest periods in modern Canadian history. Canadian troops patrolled the streets of Quebec and jailed alleged FLQ sympathizers, most of whom were later found innocent of having any FLQ ties.