The Maricopa County Sheriff's Office said the package was intercepted in Flagstaff and had Arpaio's Phoenix headquarters listed as the address, KNXV-TV, Phoenix, reported Friday.
A bomb squad said the device was "neutralized."
Flagstaff police, the FBI and U.S. Postal inspectors were investigating, officials said.
U.S. Postal Inspector Andrew Rivas in Flagstaff said he screened the package Thursday and realized it was suspicious enough to call the local police bomb squad and the FBI, KTVK-TV, Phoenix, reported.
"We evacuated the post office, got all our employees to safety," Rivas said.
Arpaio has been in the national spotlight for years because of his oft-controversial style of justice. Among other things, jail prisoners have been housed in tents and have been forced to wear pink underwear.
His critics say he has a history of undertaking sham criminal investigations against political opponents and others.
The sheriff also is known for his anti-immigration policies, which have led to accusations of civil rights violations, CNN said.
Arpaio also has been sued by the U.S. Justice Department, which alleged he violated civil rights. The civil complaint said the sheriff's office exhibited a pattern of discrimination against Latinos, including racial profiling, unlawful detention and searches, and unlawful targeting of Latinos during raids.
Arpaio has denied any discrimination.