The underpass goes under the crossroads at Cow Green, Broad Street and Pellon.
Police officers could be seen at each entrance to the subway this morning (Monday) as it was cordoned off by police tape.
An investigation has been launched and a spokesperson for the West Yorkshire Police said enquires are at a very early stage.
The spokesperson said: "Police received a third party report of an assault which is reported to have happened late Thursday night/early hours of Friday morning. Enquiries are in their early stages."
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