A man who threatened officers with a knife at a western Sydney police station has been shot dead.

The man arrived at Auburn Police Station just after midnight on Tuesday and was shot when he threatened officers with the weapon, NSW Police said in a statement.

Officers performed first aid on the man until paramedics arrived, and he was taken to Westmead Hospital, where he died.

The man is yet to be formally identified but is believed to be the same person who stabbed a 28-year-old man minutes earlier at Auburn train station.

Neither individual was known to the other.

The man who was stabbed at Auburn train station was also taken to Westmead Hospital, where he is currently in stable condition.

A critical incident team is investigating, and the police station has been cordoned off following the shooting.

According to the NSW police, the investigation into the shooting will also be subject to independent review.

More to come.