The building is just a few streets from the Parliament precinct.
The High Commission was following the direction of local police authorities, Mfat said.
All of the High Commission's staff and their families were accounted for.
Prime Minister John Key this morning told RadioLive it was too early to say whether the attack was in retaliation for the country's decision to join the fight against ISIS.
"Whether there's actually any link to ISIS is a very different matter - I just don't know.
"I know the Canadians sent their air strike capability to Iraq yesterday."
The New Zealand High Commission was seeking information from the local authorities to ascertain whether any New Zealanders have been caught up in the incident.
At this stage, there were no indications that any New Zealanders have been affected, Mfat stated.
The New Zealand High Commission in Canada was on stand-by to provide consular assistance if required.
The Green Party expressed its solidarity with the Canadian Parliament and offered its sympathy for family and friends of the soldier killed in the attack.
"Our thoughts are with all those caught up in the shooting in Canada today," said Green Party co-leaders Dr Russel Norman and Metiria Turei.
"This is a horrible attack. We pray for peace and order to be restored in Ottawa," they said.