St Michael's CE Primary School, on Lower Street in Tettenhall, was shut down for a short period on Tuesday afternoon with staff acting immediately.
Police said they understood threats had been reported, with council chiefs reassuring parents and guardians there was "no direct threat" to pupils there.
But officers have confirmed investigations are being carried out into the reported threats after they attended the school to ensure everyone was safe.
A spokeswoman for West Midlands Police said: "We were alerted after St Michael's School in Tettenhall was locked down at around 1.40pm on Tuesday. We understand threats had been reported.
"Officers attended and offered reassurance to staff and investigations are being carried out into the reported threats."
A spokesman for Wolverhampton Council added: "St Michael's CE Primary School was placed into 'lockdown' for a short period on Tuesday afternoon as a result of information received by the school.
"Staff acted promptly, following the school's lockdown procedures, to ensure the safety of all the children.
"There was no direct threat to pupils and police who visited the school advised that staff had acted sensibly, taking appropriate and timely action. The lockdown was then lifted and the remainder of the school day continued as normal."