A man who allegedly threatened a three-year-old girl with a firearm after abducting her, a pregnant woman and another child before driving along Adelaide's Rundle Mall has been shot by police in the CBD.

SA Police said just before 9:00pm yesterday the 26-year-old man abducted a woman, 23, believed to be his former partner, and their children — a three-year-old girl and a seven-month-old boy from Cumberland Park.

Officers spotted the car, with all four inside, travelling on Marion Road in South Plympton at 10:20pm and it was tracked by the police helicopter to Port Adelaide.

Loading...

The car's tyres were spiked at the intersection of Grand Junction and South Road about 11:10pm but the car kept going into the city via North East Road, along Rundle Mall and into Hindley Street.

Assistant Commissioner Paul Dickson said the man was shot in Hindley Street after the vehicle was stopped by police about 11:30pm.

"They [police officers] attempted to arrest the offender," he said.

Emergency workers with the children. ( ABC News )

"It will be alleged that the offender threatened the three-year old girl with the firearm and that's when a decision was made for the police officer to fire at the offender."

"It's a terrible incident for both the people involved, because you couldn't imagine how horrific it would have been for the young mother and the two children.

"And also it is a very difficult incident for the police to manage because we have got three people in the car [with the offender]."

Police said the man was taken to the Royal Adelaide Hospital for treatment of a non-life threatening gunshot wound.

The woman suffered minor injuries and the children were not physically injured.

Children in 'really close proximity' to shooting

Senior Constable Rebecca Stokes told 891 ABC Adelaide all four people were inside the car at the time of the shooting.

Loading

"They were all still within the vehicle when the shooting occurred, really close proximity," she said.

"It was a very high-risk incident — someone with a firearm in that small environment."

Police said before the car chase police had been told two men who tried to help the woman were threatened with a firearm.

Hindley Street mini-mart operator Rupam said he saw the shooting.

"They [the police] smashed the window," he said.

"They shot him and took him out of the car, and then all the police covered everything."

A mini-mart operator who saw the incident said police smashed a car window then shot the man. ( ABC News )

Efte Amwari, who was working in a Hindley Street shop, said his car was hit as the chase passed by.

"We saw the guy pulled up in the street and then the police car rammed up and hit my car," Mr Amwari said.

"Shots were fired, a gun shot. It was pretty scary at the time.

"The whole street was in panic."

'Commotion' before car took off

Cumberland Park resident Helen Oxenham said she saw the woman allegedly being abducted.

"He had the two kids in the car and then I heard a commotion, catching her by the scruff of the neck and pulling her into the car," she said.

"And so I just went and rang the police and then eventually he got her in the car, he bashed out of here and the two neighbours down there they say he had a gun."