Armed police officers have swarmed central Wellington on Wednesday morning, setting up a cordon in the area.
The scene of a Western Union money exchange branch on Lambton Quay is taped off and officers have been speaking to employees in a cafe next door.
A police officer at the scene told Newshub they were responding to an "incident" but declined to provide further details.
The public is being asked to avoid the area.
An employee from Sir Breadwins, which is next to the locked down store, said he saw a person dressed in black walk past and enter the Western Union store just after 9am. A short time later, he said he could hear police sirens.
A police spokeswoman said it could not provide further details.
