A Missouri state office building near the Governor's Mansion was locked down Tuesday as police investigated a report of a gunman holding hostages.

But authorities said they haven't yet found anything to confirm there actually is such a situation under way, and they are investigating whether it is a hoax. The Governor Office Building in Jefferson City was being evacuated.

"No one (has been injured)," Jefferson City Police Capt. Bob Cynova told Fox News, adding that officers haven't found anyone with a gun. "Right now, we have nothing. We're treating it as a real situation. We can't assume otherwise."

Cynova told Fox that police are evaluating the situation and tracking the phone call made to police.

"Our main concern is to make sure everyone is OK and get everyone out of the building," he said.

After receiving the reports, police surrounded the building two blocks away from the Governor's Mansion — which primarily houses the staff of the Missouri Public Service Commission (PSC) that regulate utilities.

Ron Replogle, a Missouri State Highway Patrol spokesman on the scene, said that "no hostage situation has been confirmed."

"We have not found anyone with a gun," he said. "There is some speculation this could be a hoax call, but that is not confirmed either."

Employees were initially told to remain in their offices with the doors locked Tuesday morning before evacuations began.

An employee who works for the PSC on the ninth floor of the building said he was waiting for word to evacuate.

Mark Hughes said SWAT teams were conducting a floor-by-floor evacuation, starting on the first and second floors.

PSC employs about 200 people in the building. Hughes said no one from the commission reported any "unusual activity." The initial report came in about 10:30 a.m.

An office worker who was evacuated from one of the lower floors says police told him there was a hostage situation.

The nine-story building also is home to the state's consumer advocacy office and a development finance board.

More from Fox4KC.com.

The Associated Press contributed to this report.