Police said Forrest was shot after chasing one of the thieves after they robbed Forrest while he was putting air into the tyres of his Jaguar.
Atlanta police spokesman Keith Meadow said Forrest was also armed and exchanged gunfire with the thieves in the southwest section of the crime-plagued American city.
The 11-year-old son of Forrest's girlfriend was with him at the Chevron station at the time and was able to give police a description of the attackers.
Forrest competed for the United States in the 1992 Olympics before turning pro. He captured the International Boxing Federation welterweight title in 2001 and also became the World Boxing Coucil's middleweight champion.
The 38-year-old Forrest finished with a record of 41 wins, three losses and 29 knockouts.