Footage from the scene shows police vehicles and a Fire Department of New York (FDNY) responding to the incident as crowds amass outside the store on 7th Avenue and 34th Street.
The 11-storey shopping complex is a major hotspot for tourists in the busy mid-town district of Manhattan.
Witnesses at the scene say the area has been placed on lockdown and Macy's has been evacuated.
Scenes outside of Macy's as reports of shooting at the store
Macy's is located in midtown Manhattan
Fears have escalated on social media after a reports of a shot being fired at nearby Penn Station, where New York's transport authority, MTA, have now responded.
According to local media the a man, described as being "emotionally disturbed", has been arrested at Penn Station, but this have not been confirmed by officers.
According to reports, transport police for train company Amtrak tasered a man inside the station – with the noise sparking mass panic inside the station.
Other reports suggest two people have been arrested over the incident.
Witness Kaitee Daly said: "[My] heart is still racing… was just hunkered down in GNC [health store] after hundreds of people started screaming & running through Penn Station."
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