A spokesperson for Spalding Grammar said: “The school is on lockdown and nobody is allowed out.”
A nearby hairdresser said they had locked the salon’s doors.
Chloe McConnell, who works at Shear Shak, said: “We have locked our doors. I’m scared, I actually want to cry - we do not know what has happened.
“It happened near to us but we have not seen anything apart from emergency vehicles going past. Everything appears completely normal outside.”
Laura Spring, who works at the Woodlands Hotel, just metres from the Castle Sports Centre, said: “We thought it must be something serious.
“It is absolutely devastating - you see these things on the TV but you don’t expect them on your own doorstep.
“I have a cold shiver running down my spine.”
A spokesman for South Holland District Council said: “We are currently supporting police following an incident this morning near the swimming pool on Pinchbeck Road, Spalding. The Castle Sports Centre Complex is now closed for the rest of the day.”