Elite police have rushed to the Super U shop, and there are reports that at least one person has been killed.
A prosecutor says the gunman claims to be in the Islamic State group.
Earlier, a policeman was shot while jogging with colleagues in Carcassonne, a 15-minute drive away, but was not critically injured. It is unclear if the incidents are connected.
Prime Minister Édouard Philippe said the situation was "serious".
The regional police chief said authorities believed one person had been killed at the supermarket but they could not yet confirm it. Other sources put the death toll at two.
Hundreds of police officers have been deployed to the area, and the vicinity has been cordoned off.