A man has been shot by police at Campbelltown train station in Sydney's southwest.

Police said the man was shot after he allegedly challenged officers with a knife outside the train station just before 2.45pm.

Police tasered the man, but when he continued to make threats, he was shot, NSW Police said in a statement.

"The man allegedly challenged officers with a knife on Hurley Street, outside the railway station," the statement read.

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"Police deployed a taser, however he continued to threaten police, before being shot."

The man suffered a single gunshot wound to his stomach and was taken by ambulance to Liverpool Hospital. His condition has not been confirmed.

Police have established a crime scene and urged locals to avoid the area as their inquiries continue.

"Police are not searching for anyone else in relation to the incident, and no police or other members of the public were injured," a statement from NSW Police said.

"A critical incident investigation team will investigate the circumstances surrounding the incident."

Two officers are now being interviewed about the police operation, according to 2GB.

Three ambulance crews and a specialist medical team attended at about 2.45 this afternoon, and treated a male patient for a gunshot wound, news.com.au understands.

A driver in the area told 2GB the incident was causing traffic chaos.

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"There's traffic absolutely everywhere," the caller said.

"It's a nightmare at the moment, coppers absolutely everywhere."

Commuters attempting to travel through Campbelltown Train Station have been warned of delays, as police cordon off the area following the police operation.

A school student named Emma called in to the radio station saying schoolkids had been left "stranded".

She said students had been made to get off a school bus in the middle of the street and were now unsure how they would get home.

"There's people everywhere. Schoolkids are stranded," she said.

"All our buses, we've been told are delayed."

The girl said there were people crying "because they saw it".