A dramatic siege has unfolded in Sydney's inner west after police arrested two people over a shooting and began searching for a third.

The incident began when a 56-year-old man walked into Petersham police station on Tuesday morning with a gunshot wound to his foot, claiming he had been shot and robbed at a Leichhardt unit. He refused to go to hospital.

Heavily armed police stormed a building during a siege in Leichhardt. Credit:Kate Geraghty

Police then arrested a 33-year-old-man and 21-year-old woman at the unit in Hay Street but when they found out a third person may have been involved, they returned to the apartment, above an abandoned shop near Parramatta Road.

Heavily armed police stormed the unit at 3.30pm.