"At around 6 a.m. [5:00 GMT], we received a report of a shooting in a building on Koninginnegracht in the Hague. No one was injured. We are investigating [the incident]," the Hague police tweeted.
According to Dutch media, shots were fired at the Saudi embassy.
Media reports say that police officers found several bullet casings outside the building with social media users posting images of bullet holes in windows.
The motive for the shooting remains unclear.