A man has died in police custody after he was believed to have been Tasered outside a McDonald's restaurant in the NSW southern highlands.

Police have launched a critical incident investigation into the death of the man, thought to have been aged in his 40s, who died at Bowral police station on Sunday night.

A NSW Police spokeswoman said officers were called to the fast-food restaurant on Bowral Road in Mittagong about 8.50pm on Sunday in response to a man claiming he had been attacked.