Officers were shot at while responding to a business robbery at Marshalls World of Sport, Captain Thulani Zwane said.
The shop's doors were closed, customers were lying on the floor and four robbers, two of them armed, were inside.
The robbers shot at police, injuring an officer in his 20s. Officers returned fire, killing one of the robbers. The other three were arrested.
Two pistols as well as cash and cellphones which were stolen from customers were recovered.
The would-be robbers, between the ages of 23 and 31, would appear in court soon on charges of business robbery, attempted murder, unlawful possession of firearms and ammunition, and assault.