The detainee was allegedly brought into the Booysens holding cells after being arrested for illegal possession of dagga.
After shooting the two police officers, the man is believed to have turned the gun on himself.
SABC reported that the hostage situation began around 11pm on Friday night and lasted for five hours.
A third police officer managed to escape and sounded the alarm.
Other officers on duty are leaving the station to allow a task team to take over.
Police said details about the shooting incident will follow as soon as there is more information.
However, the death of three people have been confirmed.
— Jacques Steenkamp (@JacqueSteenkamp) January 31, 2015
2 police officers shot & killed at the Jhb Central police station after a hostage situation. The detainee then shot & killed himself.
— Yusuf Abramjee (@Abramjee) January 31, 2015
More to follow as the news unfolds.