Police in Fuzhou, eastern Fujian province, said "in recent days" they had received a tip about a package sent to a Fujian-based sporting goods company.
The parcel was sent by a US client and contained at least one firearm, said Jin'an district police through their official Twitter-like Weibo account.
The firearm has been seized and officers are investigating, they added, without specifying the number of weapons in the package.
FedEx is facing multiple investigations in China, where it has come under fire for delivery mishaps related to Chinese telecoms giant Huawei.
In May, FedEx apologised for "misrouting" what it said was a "small number" of Huawei packages.
Huawei said at the time it would review its ties with the courier service over the incident.
A Chinese government probe launched in June accused FedEx of holding up more than 100 packages from Huawei.
"During the investigation, other leads of FedEx violating regulations were also discovered," reported China's official news agency Xinhua in July.
The ongoing tussle between Huawei and FedEx comes as Beijing and Washington face off in a trade war in which both sides have exchanged steep tariffs on hundreds of billions of exports.
Huawei is also facing moves from the United States to blacklist the Chinese tech firm, cutting it off from American-made components it needs for products -- though it was issued a 90-day reprieve in May.