A NSW Fire and Rescue spokesman told AAP that firefighters were using handsaws to go through the debris to see if anyone was trapped.
"A roof has collapsed in one of the cinemas," he told AAP.
The spokesman said the shopping centre had been evacuated.
Paramedics have also been deployed to a library in Hornsby and a demountable building near the railway station.
The spokesman said the demountable had been blown off its foundations.
An Ambulance Service of NSW spokesman said while there was certainly damage, there was no information yet on patient numbers.
A witness, James, who lives near the shopping centre told ABC radio he heard a big roaring sound just before 3pm (AEDT).
"I wasn't really sure what it was, it sounded like a cyclone or something," he said.
"So I ran to my back window and I could see all this debris spiralling up in the air like rubbish and stuff.
"It went over pretty quickly but shortly after I just heard nothing but sirens."
Another witness, Angela, told ABC radio she saw debris going up into what looked like a mini-tornado.
"That went over across the shopping centre and I could see some roofing material, looked like long bits of guttering going up into the sky over the shopping centre," she said.
"So I think it was mini-tornado."
It only last 10-20 seconds, she added.
Paramedics took 12 people to Hornsby Hospital following the wild weather.
An Ambulance Service of NSW spokesman said crews were sent to the shopping centre, the library and the railway station.
At the library a 19-year-old woman was treated for shock, and at the station, where a demountable building had flipped, five people were treated, including a man who sustained multiple cuts to his head.
Six patients were treated at the shopping centre for minor injuries.
The spokesman said a 50-year-old woman had cuts to her head and neck after being hit by shards of glass.
Sam Gibbons, 19, who works at a fast food outlet in the shopping centre told AAP he and his colleagues were forced from the building in the middle of their shift.
"There was a mini tornado thing that came through, some loud bangs, power went off," he said.
A glass dome in the shopping centre's roof also cracked and fell, he said.
Mr Gibbons and his fellow workers face a long night of cleaning up.
"We can't leave the shop in a mess," he said.
Fire and Rescue NSW Assistant Commissioner Jim Hamilton told Macquarie Radio a cinema ceiling in the shopping centre had collapsed but no one was inside at the time.
The nearby Hornsby Inn suffered significant roof damage.
SES spokeswoman Sue Pritchard said the SES received 20 calls in about 20 minutes from residents around Hornsby at about 3pm (AEDT).
Ms Pritchard said the Bureau of Meteorology had confirmed to her a "mini-tornado" had hit the area.
A spokeswoman for the Westfield Group told AAP that customers, acting on advice from authorities, had been moved out of the centre but Westfield was told shortly afterwards not to evacuate.
"The centre is not trading and is operating on emergency power," the spokeswoman said.
The Pacific Highway was closed in both directions between Bridge Street and Coronation Street in Hornsby due to a fallen tree, the NSW Transport Management Centre said in a statement.
Traffic lights were also out because of power black-outs and motorists were being advised to use George Street as an alternative route.
The wild weather also brought down a large tree on the railway lines between Asquith and Hornsby but train services have since been restored.
Walkway roofs and various buildings at the Hornsby railway station have also been damaged.
A Sydney Trains spokesman confirmed the people injured in the demountable building at the railway station were Sydney Trains staff.
"Five of these staff members were taken to hospital for treatment and observation," he said. Sydney Trains is also working to restore power at the station.
- AAP
