"The shopping centre will be closed all Saturday due to security concerns. The police have concrete information regarding a possible attack," local police said in a statement published on social media.
There was no announcement of arms or explosives being found, police said two men had been picked up for questioning.
The country is on high alert following scenes of carnage at a Christmas market carnage in Berlin in December, when an Islamic State jihadist rammed a truck into a crowd of pedestrians, killing 12 people.
"Many agents are deployed onsite. This is a major operation," a local police spokesman told AFP, indicating the lockdown included the 200-store Limbecker Platz in downtown Essen, nearby parking garages and an underground rail station.
Sniffer dogs were also been deployed at the site. Essen, which is in the industrial Ruhr region, has a population of approximately 500,000.
The police said they had been alerted to the threat by "another department" but no German agency has confirmed if it was involved.
Interior ministry spokesman Tobias Plate told AFP that the operation was being handled by the local police force but added that his ministry was in "constant touch" with the GTAZ, a joint counter-terrorism centre used by 40 internal security agencies.
Last July, a German-Iranian teenager who police say was obsessed with mass murderers, shot dead nine people at a Munich shopping mall before turning the gun on himself.
The country is on high alert following scenes of carnage at a Christmas market carnage in Berlin in December, when an Isis jihadist rammed a truck into a crowd of pedestrians, killing 12 people.
Isis has claimed responsibility for attacks in Germany in the past year, including the murder of a teen in Hamburg, a suicide bombing in Ansbach and an axe rampage on a train in Würzberg that injured five.