In this short story, there is more than one paradox, though one is central to the theme. First of all, the narrator is a European, British, and he is ashamed of his own country's imperialistic behavior even though he is a policeman. The elephant has gone "must," mad for a short period, so he is summoned to deal with the problem. Ironically, even though the narrator is a policeman, who should hold high respect and authority, the natives disrespect him and enjoy ridiculing him.
It is for fear of "making a fool of myself" that the narrator commits the sin against nature, that of shooting the elephant. Paradoxically, just as the elephant is "powerless to move" after he has been shot multiple times, the narrator is just as powerless in his emblematic role of authority. Yet, the narrator tells us himself the central paradox in this story: "When the white man turns tyrant it is his own freedom that he destroys." In essence, the main paradox is that when one believes he is all powerful (a tyrant), there is no freedom of choice left in that role and no power; he must always act the tyrant! Thus, he is forced to act against his own conscience and shoot the elephant!
The main paradox involves the tyranny the narrator faces while imposing tyranny upon the subjects of the Empire. The Burmese, the supposed subjects of the Empire, are the ones who control, and later force the narrator to shoot the elephant against his will. They control him and his views with ambivalence, having the narrator both care for their safety and side with their position against the Empire, while at the same time hating them, to the point that he wants to put a bayonet through a Burmese monk.