A man has been shot dead by police outside Sydney's Central Station on Eddy Avenue.

Police were called to the scene around 6.45pm on Wednesday night following reports of an armed robbery.

Witnesses report a man approached a flower stall outside the busy train station holding a knife or scissors in his hands and knocking over flowers.

NSW Police confirmed the man has died at the scene. A critical investigation is now underway to determine the circumstances surrounding the incident.