"That investigation will be subject to independent review."
The man has not yet been identified and it's unclear if anyone else was injured. The incident is not believed to be terrorism related.
Graphic video posted on social media filmed by an eyewitness shows two police officers with their guns drawn and aimed at a man inside a florist before someone yells "down".
Witness says man had what looked like separated scissors in his hands in flower stall & said "shoot me". I heard police shoot three times. pic.twitter.com/ELR0QHRdJk
The man appears to run from the florist towards police before four shots are fired at him.
"F***, f***," an onlooker can be heard screaming.
The man can then be seen lying lifeless on the ground as police come to his aid.
"Everybody move away," someone can be heard saying before the video ends.
NSW police said "a man has been shot following a confrontation with police and has died at the scene."
"A critical incident team from the Homicide Squad will now investigate all circumstances surrounding the incident.
"That investigation will be subject to independent review and all information will be provided to the Coroner."
Witnesses told news.com.au the man did not appear to be involved in a robbery but that he was behaving in a violent manner.
Nathan Yin was standing near the Eddy Avenue entrance to Central Station waiting for a friend when he saw an Asian man, who appeared to be in his 30s, approach the florist and start "breaking everything".
"A man came from nowhere. He tried to grab an old man, the florist owner, and he was pulling him and yelling at him. I said, 'What the f*** do you want?' and he said, 'I just want to die'," Yin told news.com.au.
"I took off my bag and yelled at him, I tried to get him to stop."
Yin said he called police, who arrived within five minutes. That's when he says the situation escalated.
"The man, I think he was holding scissors and trying to grab police and the police have shot him. Three or four gun shots.
"I was right there and I tried to escape the gunfire. I saw him go down. I think he got hit all over the body and he went down straight away."
SBS reporter Andrea Booth at the scene said witnesses described the man saying "shoot me" to police and holding scissors in his hand. Video shows police attempting to treat the victim.
Another witness, Serena Whelan, said she heard three loud bangs from the park across the road around 6.20pm.
CJs Central shop owner Sami Aryal also witnessed the incident.
"I was just about to go to the toilet, and I saw three to four police officers holding a gun. They were saying something to the man like 'put your hands down'," he told The Daily Telegraph.
"And then after 20 seconds, the man came out of the flower shop and he was shot about three times."
The area has been cordoned off and emergency services remain on scene.