They say the gunman acted alone in Thursday’s attack, and is also thought to be dead. His motives are unknown.
Dramatic footage has now emerged that appears to show the suspect firing many rounds through a window of the hall.
The suspect is a former member of the religious community, aged between 30 and 40, Der Spiegel magazine reports.
The victims are yet to be identified, and work at the crime scene continues.
Police say they found a dead person at the scene who they believe may have been the perpetrator.
They were called at about 21:15 local time (20:15 GMT) on Thursday, to reports that shots had been fired in the building on Deelböge street, Gross Borstel district, police spokesman Holger Vehren said.
Officers who went in found people who “may have been seriously injured by firearms, some of them fatally”, he said.
“The officers also heard a shot from the upper part of the building and went upstairs, where they also found a person. So far we have no indications that any perpetrators fled.”
It is thought people had gathered, possibly for a Bible study, when the shooting began at around 21:00 local time.
Gregor Miesbach, who filmed the gunman shooting through a first-floor window, told the Bild newspaper: “I heard loud gunshots, went to the window to get a picture of the situation. I saw a man with a firearm shooting through a window and filmed it.”
Lara Bauch, a 23-year-old student who lives nearby, told the DPA news agency that “there were about four bursts of gunfire – several shots were fired in each burst – with gaps lasting roughly 20 seconds to a minute”.
She said that from her window she could see a person frantically running from the ground floor to the first floor. “The man was wearing dark clothing and moving fast,” she added.
An alert was sent on the federal warning app, NINAwarn, at about 21:00 local time telling locals that “one or more unknown perpetrators shot at people in a church”.
Local residents were told not to leave their homes amid the ongoing police operation.
Footage showed police escorting people out of the meeting hall, some to ambulances.
Hamburg’s Interior Minister Andy Grote said on Twitter that police special forces and a large number of officers had been deployed to the scene.
The reasons behind the shooting were “still completely unclear”.
On Friday morning, German Chancellor Olaf Scholz described it as a “brutal act of violence”, saying his thoughts were with the victims and their relatives.
In a statement, the Jehovah’s Witness community in Germany said it was “deeply saddened by the horrific attack on its members at the Kingdom Hall in Hamburg after a religious service”.
Forensic experts in white suits worked through the night inside the brightly lit interior of the meeting house.
Jehovah’s Witnesses are members of a Christian-based religious movement, founded in the US at the end of the 19th Century.
In its latest report from 2022, the movement says there are about 8.7 million Jehovah’s Witnesses worldwide, including about 170,000 in Germany.
In the city of Hamburg, there are believed to be nearly 4,000 members of the organisation.
Jehovah’s Witnesses are probably best known for their door-to-door evangelical work; witnessing from house to house and offering Bible literature.
Although Christian-based, the group believes that the traditional Christian Churches have deviated from the true teachings of the Bible, and do not work in full harmony with God.
Germany has some of the strictest gun laws in Europe, including a clause that anyone aged under 25 must pass a psychological evaluation before getting a gun licence.
In 2021, there were around one million private gun owners in Germany, according to the National Firearms Registry. They account for 5.7 million legal firearms and firearm parts, most of them owned by hunters.
After mass arrests were made last December in relation to a suspected plot to overthrow the government, the German authorities are planning to tighten the country’s gun laws even further.