A man has been stabbed to death at Westfield shopping centre at Parramatta in Sydney's west in front of horrified shoppers and staff.

The stabbing happened about 10:30am (AEST) outside the centre's Myer store on level four.

A 33-year-old man from the Parramatta area was arrested at the scene.

Police said it was not a random attack and shoppers should not fear for their safety.

"This was a targeted attack and Westfield's security, as well as the police, responded immediately," acting superintendent Jenny Scholz said.

"That person was taken into custody and there's no need for anybody to be concerned in regards to their safety."

Acting Supt Scholz said it was not clear what sparked the attack, but police were investigating claims it was related to a dispute over a woman.

"That is definitely one lead that we are following up," she said.

"We're not able to establish what happened prior to the actual incident but my understanding is that the two men are connected.

"Police have multiple witnesses that have come forwards with regards to the circumstances of the incident."

Counselling offered to horrified shoppers

Witnesses said customers ran screaming from the store after the stabbing.

One woman, who was working at the centre at the time, said the attacker had two knives.

"The man took his shirt off and was yelling and screaming at shoppers," she said.

"He had two large butcher knives.

"After the stabbing, he took out his phone and lit up a cigarette."

She said frightened shoppers were running around the shopping centre screaming.

"I didn't really see much. I just saw a lady running towards my store and screaming," she said.

The shop assistant said security guards tried to contain the man but had to wait until police arrived and arrested him.

"The security was pretty good but he had two knives in his hands so obviously they couldn't really do much about it," she said.

Families witnessed 'horrible' attack, worker says

A staff member at a nearby shop said her boss witnessed the attack.

"He said at the start they were just talking, and then it escalated," she said.

"There were families, children, heaps of people.

"It's just horrible."

A spokeswoman for Myer said staff and shoppers were cooperating with police.

A crime scene has been established around 30 stores inside the shopping centre.

Staff and customers have been offered counselling.

Customers are still allowed into other areas of the centre.