Belgian police on Wednesday found the body of a woman at the home of a gunman who opened fire on Christmas shoppers the previous day, as the city of Liege prepared to hold a vigil for the victims.

A search of the home of Nordine Amrani found the body of a 45-year-old woman, who prosecutors believe was killed before he went on his murderous shooting spree in a town square packed with families, killing four including a baby.

The woman's body was found in a shed which 33-year-old Amrani had used to grow cannabis, the prosecutor general in Liege, Cedric Visart de Bocarme, said on public radio RTBF as it emerged that Amrani had had around 20 brushes with the law.

The dead woman worked as a cleaner for a neighbour of Amrani, who had in the morning asked her into his home on the pretext of offering her work and then attacked her, the regional press group SudPresse said.

Although a witness said that Amrani shot himself in the head following his rampage in Saint Lambert square, the city's prosecutor said the exact trigger for his death remained 'uncertain'.

Public prosecutor Daniele Reynders was to address questions ranging from the killer's fate to news of victims in a critical condition, or how closely Belgian authorities had followed Amrani during a year under caretaker government, at a 9:00 am Liege press conference.

Released on parole just over a year ago less than halfway through a sentence for firearms and drugs offences, Amrani had been summoned by police in the morning but never showed up.

The 17-month-old baby became the latest victim of the rampage, succumbing to injuries received, a Liege hospital announced overnight, after a 15-year-old boy died instantly and a 17-year-old boy and 75-year-old woman perished later in hospital after the attack.

Amrani's shooting spree, which targeted passers-by near the city's court house, was unleashed as hundreds of teenagers emerged from end-of-year exams and festive market-goers converged on the popular area.

Home Affairs Minister Joelle Milquet, who broke off European Union talks to dash to Liege, said more than 100 people had been injured in the attack, four of whom were still touch-and-go undergoing hospital treatment.

The attack, which targeted people waiting at bus stops, sent terrified residents running for their lives, fleeing into churches and shops.

"We heard two huge deafening noises and then lots of explosions, people were running everywhere," said baker Patricia.

"We closed the door, turned off the lights and hid behind the counter with the customers."

Belgium's federal crisis centre, given the proximity of the court house, would only confirm the attack was not linked to any ongoing criminal investigation.

Otherwise, "we're investigating all avenues," Benoit Ramacker told AFP.

King Albert II and Queen Paola rushed to the scene, as did newly named Prime Minister Elio Di Rupo, who said: "The entire country feels the pain."

Former Belgian leader Herman Van Rompuy expressed condolences, as did the premiers of neighbouring Luxembourg and Britain.

Prime Minister David Cameron telephoned Di Rupo to pass on his sympathy after the "appalling attacks."

Prosecutor Reynders said Amrani "left his home this morning with his backpack and his arms", adding that he climbed on to the roof of a bakery shop "and fired and then threw three grenades".

It was "uncertain yet whether he killed himself or whether his weapons exploded", she added.

A Liege shop worker said she saw Amrani pull out a revolver afterwards and "shoot himself in the head".

She added: "That finished it, he was dead."

Hours after the drama, groups of people sat weeping on sidewalks amid the wail of ambulance sirens and the roar of helicopters overhead. There were pools of blood on the streets.

Amrani was sentenced in 2008 to almost five years behind bars for illegal possession of arms and growing cannabis, a year after Liege police discovered rocket-launchers, an AK-47 rifle and pump-action shotguns among a cache of arms.

He was freed on parole in October 2010 -- with sources telling AFP that prison chiefs, a national monitoring centre for threats and the former home minister, now justice chief, each held files on Amrani.

Reynders maintained Tuesday that although the gunman had a record for drugs dealing, arms possession and holding stolen goods, there had never been a sign he was unbalanced.

Amid initially confusing reports, journalist Nicolas Gilenne told AFP he had just left the courthouse when the attack began.

"I saw a man wave his arm and throw something at the bus shelter. I heard an explosion. He turned around, picked something else up, pulled the pin. I started to run. He was alone and seemed very much in control.

"He wanted to hurt as many people as possible. I heard four explosions and shots during about 10 seconds."

"Luckily the mayor had postponed the opening of the Christmas market due to bad weather and high winds. Otherwise many more would have died," a town hall employee said.