Vision captured in the video above in Sydney’s CBD shows the moment an armed, blood-soaked man is chased down a Sydney CBD street, shouting "Allahu akbar".

Police responded to the incident around 2pm on Tuesday, with reports a woman had been stabbed on the corner of Clarence and King Streets.

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Later in the afternoon, a woman's body was also found in a building on Clarence Street. It's believed her death is linked to the attack.

Video shows the man, who 7NEWS understands had absconded from a mental health facility a few days ago, shouting as passers-by run to safety.

He's seen jumping onto a black Mercedes before the car turns onto Clarence Street, forcing him off it.

Play Video A man covered in blood and brandishing a large knife has jumped on a vehicle in Sydney's CBD. A man covered in blood and brandishing a large knife has jumped on a vehicle in Sydney's CBD.

The man is then chased down by armed firefighters and several men.

Police have praised those members of the public as "heroes".

The man was also heard shouting “Allahu akbar” as he ran down a street during the chase.

The alleged attacker is pinned by onlookers to the ground with a chair and milk crate, his hands appearing to be covered in blood, before police arrive on the scene.

The man was pinned down by members of the public. Credit: 7NEWS

The woman was taken to hospital and is in a stable condition.

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The man was taken into custody.

It's alleged he also attempted to stab a number of other people.

Streets in the CBD remain closed and police have advised people to avoid the area around Wynyard.