Gunmen have banded together to prevent Coke from being extradited to the US, where he awaits drug selling charges.
"The criminal element who have placed the society under siege will not be allowed to truimph," Golding said in speech to the nation late last night.
At least one man has been reported dead in the Fletcher's Land neighbourhood, which was riddled with gunfire.
A police officer was shot in the hand and a civilian was also wounded after a shoot-out in Kingston. Police said four of their stations came under attack, and one was burnt to the ground after they ran out of bullets and abandoned the building.
People barricaded the streets in the Tivoli Gardens neighbourhood in West Kingston, where Coke is believed to be holed up.
The armed gang members also stole a police car. Police believe they had stockpiled a mass of weapons in preparation for a seige against the police.
Coke is the reputed leader of the "Shower Posse", a drug gang with many ties to the United States. The US asserts that the gang killed hundreds of people during the cocaine wars in the 1980s.
Jamaica originally rejected US extradition requests, causing a strain in relations between the two countries. Coke is a supporter of the Jamaican Labour Party, the same party as Golding.
Earlier this month, Golding acknowledged he had hired a US law firm to lobby to the US Government to drop the extradition order.
He denied the claims at first, but then admitted that he had retained them in his capacity as the head of the Labour Party, not as Prime Minister. This prompted calls for his resignation.
The state of emergency will last at least a month.