Kenya Red Cross spokesperson Anolda Shiundu said there were three "casualties from the drill, one of them critical."
Police said it was just a security exercise, but images showed terrified students standing on window ledges at Strathmore University, close the centre of the capital Nairobi.
University of Chicago cancels classes over gun violence threat
Kenya has seen several attacks launched by Al-Qaeda-linked and Somali-led Shebab insurgents in recent years.
They include an April massacre at Garissa university in which 148 people were killed, and a 2013 assault on Nairobi's Westgate shopping mall that killed 67.
COMMENTS
Comments are moderated and generally will be posted if they are on-topic and not abusive.
For more information, please see our Comments FAQ