An active investigation is underway, with authorities conducting a floor-by-floor search of the building, ABC 7 reported. A call was made to authorities shortly after 9:30am local time on Wednesday, NBC 4 reported.
The shots occurred on the fourth floor of the hospital, according to a reporter for local news website LoHud.
"I arrived to the hospital and I was notified by other hospital personnel that they had been evacuated and that there was apparently a shooter on the fourth floor of the hospital," Westchester Medical Center employee Jaime Kuhn told LoHud.
The fourth floor of the hospital is reportedly where the Intensive Care Unit (ICU) is located.
Authorities have confirmed that the scene is active, but have declined to provide further details. It was not immediately clear whether anyone had been shot.
New York Daily News cited reports which stated that the shooter was a man who first shot his wife and then himself. That report remains unconfirmed at this time.
Valhalla, which has a population of 3,000, is located 30 miles (48 kilometers) north of midtown Manhattan.