An armed man who held police at bay for more than 12 hours in an Adelaide brothel has been found dead, South Australian police have said.

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Police cordoned off large areas of Adelaide's CBD after Rodney Clavell, 46, holed himself up in the premises on King William Street about 1:00am on Thursday.

Clavell had been on the run from police since May 22 and police had warned the public that he was armed and dangerous.

Four women who were inside the building with Clavell were released around lunch time.

Assistant Commissioner Paul Dickson told a press conference on Thursday afternoon that a robotic probe was sent into the building after the women were released and it discovered Clavell's body.

"It's always distressing for police officers who have wanted to resolve this in a peaceful way for the last 14 days," Mr Dickson said.

Mr Dickson later confirmed that police believe Clavell took his own life with a gun that was found at the scene.

He said the incident would be subject to an inquiry as a death in custody because it occurred during a siege.

The women who emerged from the building did not say Clavell was dead. Police say they believe he was still alive when they left the building.

Police had been trying to make contact with Clavell since the lockdown, using the media to communicate with him through the morning.

"Since this incident occurred at 1:00am this morning we have had no direct communication with Mr Clavell. All of our communication has been through a third party," Mr Dickson said.

Clavell, a former prison guard, had a long criminal history and had previously been shot and wounded by police in 2004 during a chase through the Adelaide Hills when he stole a 12-tonne road grader.

Four years later, he was involved in rioting at regional Port Augusta prison.

He was also wanted for offences including breaching a firearms ban.

SA police have also revealed that Clavell was wanted for several other crimes including holding up a woman at gunpoint at Elizabeth Park in Adelaide last month.

They said that he had committed other serious offences since being on the run but did not give further detail.

Heavily armed police and at least one armoured vehicle had attended the scene outside the building where Clavell was found.

Rodney Clavell's criminal past 2004: Clavell shoots at and is shot by police after chase through Adelaide Hills on stolen, 12-tonne grader. Watch video here.

Clavell shoots at and is shot by police after chase through Adelaide Hills on stolen, 12-tonne grader. Watch video here. 2008: Clavell, his son and others involved in riot at Port Augusta prison.

Clavell, his son and others involved in riot at Port Augusta prison. 2011: Magistrate finds no case to answer on rioting charges.

Magistrate finds no case to answer on rioting charges. 2014: Warrant issued for breach of firearms prohibition order in relation to 2004 shootout.

Vision of the women leaving the building showed one of them crying as police helped carry her away from the scene.

Police said Clavell knew at least one of the four women and that he felt safe at the CBD premises.

Police thanked the community for their cooperation during the siege.

"Obviously this incident, both today and on previous occasions, has a significant impact on the community and we appreciate the community support in this period of time because of that inconvenience," Mr Dickson said.

"There is always a risk to the community when you have a man that we believe was armed and not complying with what the police wanted to occur."

Last month, a sighting of Clavell sparked the lockdown of two schools, while police used dogs and helicopters in their search.

Authorities have searched more than 80 properties over the last two weeks trying to find him.

The siege caused chaos in peak hour traffic on Thursday morning, and continued to disrupt businesses in the area throughout the morning.

Traffic and trams are now flowing and barricades around the exclusion zone have been taken down.