The market and surrounding streets were put on lockdown for several hours after police were alerted about a bag.
It has since been declared safe, but forensic work is continuing at the scene.
A police spokesman said two men, aged 26 and 30, from Leeds, have been arrested.
They are being questioned on suspicion of going equipped to steal.
The arrests were made in relation to the contents of the bag at the centre of today's bomb scare.