The first shark to be caught under Western Australia's new catch-and-kill policy has been destroyed.

The shark was caught on baited drum lines which were set off WA's south-west coast on Saturday.

Fishermen contracted to carry out the work shot the animal.

The shark is more than three metres long; however, its species has not yet been confirmed.

The State Government's new catch-and-kill policy was announced in December, following seven fatal attacks off the WA coast in three years.

Premier Colin Barnett has defended the policy, arguing public safety is at risk.

"When you have sharks that are three, four, five metres long of known aggressive varieties, swimming in the water very close to beachgoers, that is an imminent danger," Mr Barnett said.

"I get no pleasure out of seeing sharks killed but I have an overriding responsibility to protect the people of Western Australia."

The policy, which has outraged conservationists, states that all white, bull and tiger sharks more than three metres long can be caught and killed.

Drum lines are expected to be set off Perth beaches next week.

Piers Verstegen from the Conservation Council says the community should be outraged.

"This is the first shocking results of a policy which has no science behind it, no evidence that it will actually work and has not had a full investigation of the environmental impacts," Mr Verstegen said.

"So really this is a very sad day for Western Australia and certainly a very sad day for our sharks."

More anti-shark cull rallies are set to take place across the nation this week.

Anti-cull campaigner Natalie Banks organised a rally at Cottesloe Beach earlier this month and says another one is planned for this Saturday across Australia and New Zealand.

She says it is disappointing the previous rally did not change the government's mind.

"A lot of the community have spoken out in anger and disgust about what has happened, it's a sad day for a lot of people who have spoken out and just did not want this to occur," she said.

"We're very disappointed that the WA Government isn't listening to the voices of the thousands of people who are not just attending our protests, but speaking out worldwide.

"There's been obviously support from people like Ricky Gervais and Sir Richard Branson, not just members of the community but people of key standing."