Two people and a gunman have been killed in a shooting at a construction site in Auckland, the country's largest city, and multiple people have been wounded, New Zealand police said and local media reported.

"The male offender is also deceased," the police said in a statement on Thursday, adding that the incident was not a national security risk.

The New Zealand Herald reported that at least six people had been wounded, including a police officer, who was able to walk to an ambulance with assistance from colleagues.

Police described it as a "significant incident" but said the situation had been contained to the single building that was under construction in lower Queen Street.

Police were urging people to avoid the area or stay inside their buildings if already there.

The incident comes as many football teams were gathering in New Zealand for the FIFA Women's World Cup.

The opening match is scheduled for Thursday between New Zealand and Norway.