A mystery drone has crashed into the Sydney Harbour Bridge, causing counter terrorism officers to be alerted and an investigation by the Civil Aviation Safety Authority.

The incident occurred on Wednesday, just a day before the start of the International Navy Fleet Review, which has already drawn thousands of spectators to the harbour and foreshore. However police believe the two are not linked.

At about 10pm on Wednesday, Harbour Bridge security discovered the device, which had a camera attached, near one of the southern pylons and handed it in to police.

"At this stage police don't believe that the quad-copter is suspicious and is most likely for recreational use. Investigations are continuing but anyone with information or (who) knows who owns it is invited to contact police."