A gunman killed two people and wounded at least five at a building site in central Auckland Thursday, just hours before New Zealand's biggest city hosts the opening game of the football Women's World Cup.

New Zealand's prime minister said the gunman also died at the scene, there was no national security threat, and that the marquee tournament would go ahead as planned.

The unnamed man tore through the facility with a pump-action shotgun in the early morning, killing two, injuring at least five and plunging a large portion of New Zealand's largest city into lockdown.

A police officer was among those injured and rushed to hospital. His condition was said to be stable.

It was not immediately clear how the shooter died or his motive.

Aucklanders had circled today's date as the start of a month-long festival of football that would showcase their city and country to the world.

Instead, they were woken by the sound of police sirens and helicopters thudding overhead.

Prime Minister Chris Hipkins expressed shock and "deep sorrow" at the rare mass shooting in New Zealand.

But he insisted the tournament, which is being co-hosted by New Zealand and Australia, could go ahead.

"Aucklanders and those watching around the world can be assured that the police have neutralised the threat and that they are not seeking anyone else in relation to the incident," he said.

Hipkins said the "assessment from officials is that there is no national security risk. There is no change to New Zealand's national security threat level."

"The government has spoken to FIFA organisers and the tournament will proceed," he said. "New Zealanders' safety, and the safety of our visitors, are our first priorities."

A number of national soccer teams are in New Zealand's largest city, including the United States squad, which said all its players and staff were accounted for and safe.

Norway's team hotel was close to where the shooting unfolded. The team said they were also unharmed and "everything is calm in the squad".

Captain Maren Mjelde said players were woken up by a helicopter and "a large number of emergency vehicles".

"At first, we didn't know what was going on, but eventually there were updates on TV and the local media," she said.

"We felt safe the whole time. FIFA has a good security system at the hotel and we have our own security officer in the squad.

"Everyone seems calm and we are preparing as normal for the game tonight. Then we may have to adapt if there are any instructions from the authorities."

Norway will take on hosts New Zealand at the city's Eden Park after an opening ceremony later Thursday.

- Shots fired -

Police acting superintendent Sunny Patel gave a running account of how events unfolded, and said dozens of witnesses were now being interviewed.

"The offender has moved through the building site and continued to discharge his firearm," he said.

"Upon reaching the upper levels of the building, the male has contained himself within the elevator shaft and our staff have attempted to engage with him.

"Further shots were fired from the male and he was located deceased a short time later."

Police said two deaths had been confirmed so far, in addition to the attacker.

Four members of the public were said to have wounds ranging from moderate to critical.

"What has unfolded is understandably alarming and we are reassuring the public that this incident has been contained and is an isolated incident," Patel said.

Police reassured match-goers and the wider public that they could now travel to the city centre, while avoiding the area immediately around the crime scene.

Shootings with multiple deaths are rare in New Zealand and sweeping gun laws were introduced after the 2019 Christchurch mosque massacre, in which 51 Muslim worshippers were killed and another 40 wounded.