In an alert posted on its website, the US university said: "There are confirmed reports of a person with a gun on the Old Campus. The shelter-in-place lockdown continues," Xinhua reported.
Teams from Yale Police, New Haven and the State Police were on the scene and searching for any gunman, the school said.
The New Haven Police said that it received an anonymous call from a phone booth reporting about a person on the Yale campus with a gun.
A person called police to report that his roommate wanted to shoot up the school Monday, a media report said, as police put Yale's Old Campus on lockdown.
The caller said his roommate had a long gun, a police spokesperson David Hartman said.
There have been no reports of shots fired or anyone injured, but Special Weapons And Tactics (SWAT) officers, FBI agents, and other law-enforcement personnel massed on the campus, reports said.
According to the university website, it comprises three major academic components -- Yale College (the undergraduate programme), the Graduate School of Arts and Sciences, and the professional schools.
The university also encompasses a wide array of centres and programmes, libraries, museums, and administrative support offices.