Women's World Cup teams in Auckland said they were shocked but safe after a deadly shooting in the centre of the New Zealand city on the opening day of the tournament Thursday.

A gunman opened fire at a building site just hours before the opening game at the city's Eden Park between hosts New Zealand and Norway. Two people, plus the shooter, were dead and six wounded.

New Zealand Prime Minister Chris Hipkins said the showpiece match would go ahead as scheduled but the incident left teams rattled with at least one squad staying nearby.

"New Zealand Football are shocked by the incident in Auckland this morning," NZ Football said. "We can confirm that all of the Football Ferns team and staff are safe."

Norway's team hotel was close to where the shooting unfolded but they were unharmed and said "everything is calm in the squad".

Captain Maren Mjelde said they were woken up by a helicopter and "a large number of emergency vehicles".

"At first we didn't know what was going on, but eventually there were updates on TV and the local media," she said in a statement.

"We felt safe the whole time. FIFA has a good security system at the hotel and we have our own security officer in the squad.

"Everyone seems calm and we are preparing as normal for the game tonight. Then we may have to adapt if there are any instructions from the authorities."

Defending champions the United States are also based in Auckland for the tournament, which is also being co-hosted by Australia, and similarly said "all of our players and staff are accounted for and safe".

"Our security team is in communication with local authorities and we are proceeding with our daily schedule," they added.

The Americans are chasing an unprecedented third World Cup crown in a row and face outsiders Vietnam to open their title defence in Auckland on Saturday.

Hipkins told reporters there was no ongoing risk and he had spoken with football's governing body FIFA.

"Clearly with the FIFA World Cup kicking off this evening there are a lot of eyes on Auckland. The government has spoken to FIFA organisers this morning and the tournament will proceed as planned," he said at a press conference.

"I want to reiterate that there is no wider national security threat. This appears to be the actions of one individual."

Former New Zealand player Maia Jackman was reportedly in a fan zone as the drama unfolded and told The New Zealand Herald: "It's pretty scary actually."