Police armed with semi-automatic rifles were at the scene at the corner of Great King St and St David St opposite the North Ground.
Officers were at the scene by about 3.30pm and were conducting interviews with boarding house residents.
A young woman who was present at the boarding house at the time of the incident told the Otago Daily Times the house "was shot at".
The gathered residents did not allow the ODT near enough to the house to inspect for signs of a bullet impact.
Donna Cairns, manager of the nearby Alhambra Oaks Motor Lodge, said she heard a gunshot.
She said she knew the difference between a gunshot and a car backfiring because she lived in a semi-rural area.
A student living in a flat directly next door to the boarding house said he heard a massive bang before hearing the screaming sirens of police rushing to the scene.
Police left the scene shortly before 4pm after standing guard and interviewing witnesses.
St John did not attend and there was no suggestion anyone was injured.
A police spokeswoman confirmed no-one was injured in the incident and said no-one had been arrested.
Police investigations were continuing, she said.
- Dunedin police (03) 471-4800, Crimestoppers 0800-555-111.
