A woman has fallen to her death at a shopping centre in Sydney's CBD.

The woman, 45, fell from an upper level of the three-storey Queen Victoria Building at about 2.30pm on Wednesday.

Shoppers in the centre witnessed the incident, which was reportedly on the north-end side of the building. One worker said they heard a loud thud and a scream.

Another witness, who was walking through the the nothern entrance as it happened, said "I couldn't dare look, but I was told it was a woman. Terrible."

Emergency services were called to the scene and police arrived in "minutes" but the woman couldn't be revived.

Police cordoned off a section of the stairs and lift, closing the Westfield tunnel to the public.

NSW Police have reportedly called the death a "self-harm incident".

"The lower ground floor is closed to the public and there is advice to stay away from the area if possible," NSW Police told the Daily Mail in a statement.

Originally published as 'I couldn't look': Woman dies in fall at QVB