A man has been shot and killed by police after a confrontation with officers outside Central Station in Sydney's CBD.

The shooting happened near a florist at one of the Eddy Avenue entrances.

Loading

Police said they were called to the scene at 6:45pm after receiving reports of an armed robbery.

"A critical incident investigation has commenced following the death of a man during a confrontation with police," acting Assistant Commissioner Mark Walton said.

"A male of Asian appearance has died following that confrontation with the police.

"A critical incident team from the homicide squad will now investigate all the circumstances surrounding the incident, including the discharge of a police firearms during the confrontation with the man."

Sami Aryal, who works nearby and witnessed the shooting, said there were four or five police officers surrounding the flower shop and they were asking someone to put their hands down for 10 to 15 seconds.

"One of the policemen went inside the shop … and as soon as a man was about to run, I saw the policeman shooting him," she said.

"He was shot and he was straight to the floor.

"People were scared, they were shouting. As soon as the incident happened they asked us to sit over here and they sealed the place."

Ms Aryal said the police seemed "really worried" about the man, who she could not see moving or shouting after he was shot.

Witness heard 'put it down' before shots

Another witness, Nick Mavros, initially heard screaming but "didn't really pay much attention to it because it happens quite a bit around here".

"I heard 'put it down, put it down'," he said.

The scene where a man was fatally shot by police. ( ABC News: Justine Kearney )

"That's when I've sort of walked to here and then there was I think it was three or four gun shots and that was pretty much it."

A social media video of the incident appeared to show the man running out of the Eddy Avenue Florist surrounded by armed police.

In the video, four gunshots sound and the man falls down on the ground.

Salim, who owns a store nearby, said he heard only three shots and screams.

"Then after, the three police and one medical staff guy from the station surrounded him," he said.

Police have said the incident is not believed to be terror-related and they have asked witnesses to come forward.