Local pub owner Michael told the Ekstra Bladet that he was about to open the pub when he heard four to five gunshots.
He said: “Then came a dozen shocked people, including tourists who wept and were completely out of it.
“I let them in at the pub, and got them out in the kitchen so they were safe.”
The footage shows armed police with raised guns around HC Andersens Boulevard.
Police scrambled to the scene in central Copenhagan
The US Embassy in Copenhagen issued a warning to people to avoid the area surrounding Tivoli Gardens.
It said in a statement: “It is unclear if the shooter is still at large.
Copenhagen is on lockdown
The city was on lockdown after the gunman went on a rampage
“Exercise caution if you are in the vicinity.”
The situation is said to be now under control, but caused chaos in the area.