Officers were called to Town Street in Horsforth shortly before 3.10pm today and are still in the area.
St Margaret's Primary School was on lockdown from that time until around 3.40pm, when the police said it was safe to open again.
Headteacher Sarah Harridge said: "We were probably on lock down for around half an hour.
"At that point there were some parents in the playground wanting to collect and some outside the gates.
"The parents were really supportive, they had seen some of the incident.
"They said the priority is keeping the children safe. It's something we've never had to do before."
She had heard that a vehicle had done a three-point turn and driven the wrong way up the one-way street after the offence.
A West Yorkshire Police spokeswoman said: "Police were called to Town Street in Horsforth around 3.08pm this afternoon following reports of a robbery at Leevans Jewellers.
"Officers are at the scene and early stage enquiries are ongoing.
"Anyone with any information is asked to contact police via 101 quoting 1109 of 23/03."