Police were called to the supermarket at 4.45pm after reports a shoplifter threatened a worker with a knife.
A police spokeswoman said there were reports two people were involved in the attack and there were "a number of people" holding them down until police arrived.
Two people were taken back to the Dunedin Central Police Station for statements.
Foodstuffs NZ head of external relations Antoinette Laird confirmed there was an "incident" at one of its Dunedin New World stores.
Fortunately, no one was injured, she said.
"The matter is with the police now and we have no further comment."