Initial reports say at least three gunmen wearing suicide vests shot their way into the traffic police headquarters in Khost city.
Security forces have surrounded the compound and a gun battle is taking place, police say. At least one person is reported to have been killed.
The attack comes a day after a suicide bombing in Kabul killed at least six.
In the latest attack, a guard was killed in the initial assault which happened at about 0500 (0030 GMT) on Sunday, said Gen Raz Mohammad Oryakhail, army commander for Khost province.
He said the militants were on the second floor of the building and shooting down at police and soldiers outside.
However, a provincial police chief told AFP news agency that three police officers had been killed.
Another official said police and troops were trying to avoid a full-scale assault because they didn't want the gunmen to detonate their suicide vests.
In Saturday's attack, a suicide bomber detonated his device in a tent in the grounds of Charsad Bestar Hospital where medical students were eating lunch.
Although the hospital treats Afghan military personnel, the victims were all civilians and medical students, police said.
The Taliban said it carried out the attack.