Spokesman Steven van Santen said police were alerted around 6 a.m. to shots being fired at the building on a stately avenue opposite a canal in the Dutch city.
Officers found several bullet casings outside the building and launched an investigation including an appeal for witnesses.
Nobody was immediately available at the embassy to comment.
The shooting came a day after an explosion at a Saudi cemetery where American and European officials were commemorating the end of World War I wounded three people. There was no indication that the shooting in The Hague was linked to the blast.