Officers are on scene, according to British Transport Police.
It is not yet clear exactly what the incident is, and no official word has been released by the authorities.
Singer Olly Murs also announced on social media that he is currently stuck inside shopping store Selfridges.
A police statement said: "Police were called at 16:38hrs on Friday, 24 November to a number of reports of shots fired on Oxford Street and underground at Oxford Circus tube station.
Police have responded as if the incident is terrorist related. Armed and unarmed officers are on scene and dealing along with colleagues from British Transport Police.
If you are on Oxford Street go into a building and stay inside until further direction.
Avoid travelling to the Oxford Street area.
At this stage police have not located any casualities."