Sussex Police said a 15-year-old boy was taken into custody at around 9.40am this morning (July 11).
He was arrested near to the school on suspicion of possession of a knife or blade or pointed article in a public place and possession of a bladed article on school premises, police said.
Shortly afterwards, Steyning Grammar School headteacher Nick Wergan emailed parents to reassure them over the incident.
The email, which was sent around 90 minutes after the police arrived, said: "I wanted to update you with regard to an incident at our Shooting Field campus this morning.
"We were given information that a student had brought a knife onto the site and therefore immediately locked down all SGS sites as a safety precaution, and police immediately attended. The student was arrested off site, and all school sites are back to normal.
"Please be reassured that student safety and welfare is our highest priority and we have lockdown systems such as these to ensure this, which worked extremely well this morning."
Sussex Police confirmed no-one was injured during the incident.
The school deferred making a statement to West Sussex County Council. A spokesman for the council said it was fully aware of an incident at the Shooting Field campus.
"The school acted swiftly and appropriately to lock down all sites and inform the police who attended immediately," the spokesman said.
"The young person involved was very quickly arrested and detained by Sussex Police off the school site.
“The safety of pupils and staff is of paramount importance and the systems all schools have in place to ensure their safety were used very effectively by the staff at Steyning Grammar School. The head teacher has written to all parents to inform them of the incident and reassure them of the immediate action taken.”