"I literally couldn't think. I just looked down at my keys, didn't know what to do," said parent, Michelle Judge after she heard the alarm go off.
Judge said she was getting ready to see her daughter's dance show when she heard the alarm. She said her daughter was inside at the time.
"Her dance teacher locked the door and put the girls in the closet and that closet locked as well," she said.
A school spokesperson said officers received a 911 call from concerned neighbors who heard the alarm around 5:30 p.m.
As a result, police placed the school on lockdown. Police sources told CBS 6 News earlier Thursday evening that there was no threat after the lockdown was issued.
The lockdown was lifted around 7:30 p.m.
An alert on the school's website indicated that Collegiate's Mooreland Road and Robins Campuses were both on lockdown.
Police on the premises discovered no threat, but the school said the campus would remain on lockdown as a precaution until all buildings were checked out. Officials said police had to survey 24 buildings on campus during the lockdown.
Police told neighbors who live close to the school to stay indoors until they clear the area.
All buildings and grounds were cleared by police as of 7:30 p.m. after no threat was located.
"We would like to thank the community for their assistance and cooperation," Henrico police said.
The Collegiate School is a coed, college preparatory independent school.