A woman has died after a boat capsized in Sydney's west during Australia Day celebrations.

Emergency services were called to the Penrith Weir on the Nepean River just after 12.30pm today.

Two men and two teenagers were rescued from the water and taken to Nepean Hospital for observation and treatment of minor injuries, NSW Police said.

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An unconscious woman was pulled from the water and treated by paramedics, however she died a short time later.

She is yet to be formally identified but is believed to have been aged 33.

"This is a tragic ending for this family on what should have been a fun day out on the water this Australia Day," NSW Ambulance Acting Superintendent Greg Marshall said.

"It was a complex rescue operation with several people in the water when paramedics arrived on scene. We worked closely with Police, Fire and Rescue and the SES to get them out as quickly and safely as possible.

"This is a reminder to everyone out on the water this summer on how quickly things can turn. Paramedics are urging people to take care."

At least 10 ambulances and a Toll Rescue helicopter attended the scene.