At least six other people are thought to have been injured in the incident which came around 7.22am local time.
The incident took place at a construction site in the city and is confirmed to have been contained at the scene.
Police have urged people not to travel to the area, which is just two miles from Eden Park where the tournament's opening fixture is set to be held.
All Fifa personnel and football teams are safe and have been accounted for, the mayor said.
"Police have contained a serious incident that unfolded at a construction site in Auckland's CBD this morning," a New Zealand Police statement read.
"Multiple injuries have been reported and at this stage we can confirm two people have died. The male offender is also deceased.
"This incident unfolded after reports of a person discharging a firearm inside the site on lower Queen Street at around 7.22am.
"A significant number of police responded and cordoned off the area. The Police Eagle helicopter was also deployed and provided oversight.
"The offender has moved through the building site and continued to discharge his firearm.
"Upon reaching the upper levels of the building, the male has contained himself within the elevator shaft and our staff have attempted to engage with him. Further shots were fired from the male, and he was located deceased a short time later.
"Details around what has exactly occurred are still emerging and Police will continue to provide updates around injuries and the circumstances."
Police moved to reassure people in the city that the incident "did not pose a national security risk."
The Women's World Cup is set to begin on Thursday with co-hosts New Zealand playing Norway in the opening match.
In a press conference, Prime Minister Chris Hipkins stressed that the Women's World Cup opener would go ahead as planned.
"Aucklanders can be assured that police have neutralised the threat and are not looking for anyone else in connection with the incident. The safety of New Zealanders is our priority," he emphasised.
Mr Hipkins also said there was "no political or ideological motivation" for the shots, fired with a shotgun from the upper floors of Queen Street, and thanked police for their "heroic act" in containing the incident.
