A man believed to be in possession of explosives has taken at least one person hostage at a park in Western Australia's South West.

Police, ambulance and firefighters were called to the scene near the corner of Koombana Drive and Blair Street on the Bunbury foreshore shortly after 6:00pm on Thursday night.

The ABC understands the man may have explosives, or some kind of gas canister.

A large banner had been erected which appeared to be calling on police to release the 'Batty Archibald' Corruption and Crime Commission report.

At one stage it blew down in the wind but was hammered back in to face the media by the man and his hostage.

One of the men waved at television cameras.

The metropolitan-based police Tactical Response Group is in the coastal city, about 170km south west of Perth.

Armoured vehicles and heavily-armed officers have extended the exclusion zone around the scene.

A police negotiator has used a loudspeaker to communicate with the man, who can be heard shouting replies to the negotiator.

Police have confirmed it is a hostage situation.

They said they were aware of the identity of the man at the centre of police attention, but were not releasing further details.

They asked members of the public to stay away from the area.

A section of Koombana Drive has been closed.

Dog squad officers have also been called to the scene.