Peterborough Police said earlier Saturday that they were trying to make contact with a man in a vehicle and were asking members of the public to stay away.
Police have confirmed the incident is over but are not commenting further because the Special Investigations Unit is now involved.
The watchdog agency is automatically called in when police are involved in an incident that results in death or serious injury.
Police have not provided further details, but local media reports suggested hundreds of people were at the store at the time, though most were safely taken out through a back entrance.
There were also reports the man in the vehicle had a firearm but police have not confirmed that.