A witness to a fatal double shooting in Sydney's west says a man was yelling and wielding a gun outside NSW Police headquarters moments before he heard shots and saw a man lying on the ground.

Real estate agent Edwin Almeida says he heard shots and saw a man in a black gown pacing and waving a gun outside the police centre in Parramatta on Friday afternoon.

Mr Almeida said his frightened staff ran into their office and heard three to four gun shots.

"We looked out the window, saw security guards and what appeared to be a plain clothes police officer with gun drawn and pointing at the person that was now lying on the floor surrounded by a pool of blood."

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Mr Almeida said afterwards he could see two bodies under sheets lying in the street.

Other witnesses have reported seeing a man in a black gown holding a gun.

Mr Almeida told AAP he could see one body lying outside the police building and the other further up the road.

He said he saw the man in the black gown lying in a pool of blood, and that his was one of the bodies.

"We asked our staff to come inside because it appeared to be a serious situation," Mr Almeida said.

Police confirmed a major operation was underway between Hassall Street and Charles Street with the public told to avoid the space.

Bodies covered in sheets near the police centre could be seen in live helicopter footage on Sky News.

Multiple police vehicles crowded the area after ambulance services were called to treat two people at 4.35pm.

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- AAP