The incident happened at a Hudson's Bay store in the city's main market square area, known as Grote Markt Street. Police said the district was busy with Black Friday shoppers at the time of the incident.
Twitter users posted video of people running from the scene outside.
Like the London attack earlier in the day, the attack at The Hague happened in a location popular with tourists, commuters and shoppers.
The Hague is also where the international criminal court is based.