Several people were also injured in the incident on Drottninggatan (Queen Street), one of the city's major pedestrian streets.
Swedish Prime Minister Stefan Lofven said everything pointed to an act of terrorism.
Local media reported one arrest, but police have said no-one is being held.
The lorry was hijacked earlier on Friday, its owner said.
The crash happened at the Ahlens department store just before 15:00 local time (13:00 GMT).
Swedish brewery Spendrups said its lorry had been stolen on its way to a restaurant delivery.
"Someone jumped into the driver's cabin and drove off with the vehicle while the driver was unloading," a brewery spokesperson told the TT news agency.
Shots were reportedly fired in another part of the city, but Swedish police told local media there was no connection between the two incidents.