The shoe missed Wen and landed on the stage about a metre away from him during an address at Cambridge University in eastern England, a Reuters witness said.
The protest mirrored the hurling of shoes by an Iraqi journalist at U.S. President George W. Bush on his farewell visit to Iraq in December.
The protester, who was held by university security guards, blew a whistle and then shouted: "How can the university prostitute itself with this dictator?"
Wen hesitated for a few moments in his speech before continuing speaking. University officials bundled the protester out of the building and security guards fanned out across the stage.
After the protest, Wen continued his speech, saying: "We come in peace. This is not going to obstruct China-UK friendships. History shows harmony will not be obstructed by any force, so would you let me continue."
A police spokeswoman said officers arrested the man for a public order offence. She gave no more details about him.
About 80 people, both supporters and critics of China, had earlier gathered outside the venue. There was a large police presence in the city and security guards within the building.
Groups of anti-China protesters, including pro-Tibet campaigners, have followed the Chinese premier during his visit to Britain.
On Sunday, police arrested five pro-Tibet demonstrators after they broke through police lines as Wen arrived at the Chinese embassy in London.
Video footage of the shoe-throwing in Baghdad was repeatedly shown around the world. Journalist Muntazer al-Zaidi, who works for independent al-Baghdadiya television, shouted: "This is a goodbye kiss from the Iraqi people, dog."