A bullet struck the media centre at the Olympic equestrian venue on Saturday, fuelling security fears at the Rio de Janeiro Games.
No one was hurt in the incident, but an AFP journalist at the media centre saw a clear hole where the bullet tore through the canvas roof.
A TVNZ report said the bullet narrowly missed a New Zealand team official who was badly shaken by the incident.
New Zealand’s Olympic team said it appeared to be “unintentionally fired” and landed on the media centre floor.
“Today a bullet entered the press conference work room at the Equestrian Venue at Deodoro in Rio and landed on the floor,” a statement said.
“The New Zealand police assessment is that the bullet was fired unintentionally rather than with intent,” it added.
“We have advised all team members to remain within the accredited areas at the venue and travel bubble to bubble.
“Team members should remain aware and exercise caution.”
The Deodoro equestrian venue, which was hosting the first day of the dressage competition on Saturday, is located on a military base.
Rio also has a reputation for gun crime and there were two fatal shootings near Olympic venues on Friday, including one outside the Maracana stadium where the opening ceremony took place.
On Saturday, bomb-disposal experts carried out a controlled explosion near the finish line of the cycling road race at Copacabana beach.