Police have released CCTV of the gunman who walked into the Jewish Museum in Brussels and shot four people dead on Saturday.

The video shows a man wearing a baseball cap, blue top and dark trousers carrying two bags into the Jewish Museum of Belgium at about 3:50pm local time.

Once inside the building, he appears to take an automatic weapon from a bag and shoots through a door. He then replaces the gun and leaves the building.

Police believe the killer is still at large and have appealed for the public to help trace him.

Authorities believe he parked a car outside the building before entering the museum.

No description of the vehicle has been released.

Earlier, a fourth person died following the suspected anti-Semitic attack.

The latest victim, reportedly a man who worked as a receptionist at the museum, died today after being shot by a gunman who opened fire at the museum on Saturday.

Three victims were shot dead at the scene. Among the dead were two Israeli tourists, named by the Israeli foreign ministry on Sunday as Israeli residents Emanuel Riva, 54, and Miriam Riva, 53, a tourist couple visiting Brussels from Tel Aviv.

The third victim, also believed to be Jewish, was a museum volunteer, according to reports on Saturday night by a Belgian news site.

Police detained one man on Saturday but he has since been released. Police believe the gunman probably acted alone, and was well prepared.