NSW Labor MLC Shaoquett Moselmane says his decision to link Twitter followers to a story on the website of a former Ku Klux Klan leader was "a bad mistake".

The tweet, which he posted about 10:00pm last night and subsequently deleted, directed people to the homepage of American white supremacist David Duke.

Mr Duke is a former Ku Klux Klan grand wizard and state politician in Louisiana.

The story was titled: Israel Lobby Controls Australian Foreign Policy — Former Foreign Minister Bob Carr.

Mr Moselmane, who was elected in 2009, is the first Muslim MP in NSW.

Mr Moselmane deleted his tweet shortly after posting it. ( Twitter )

He said he decided to post the link in response to Prime Minister Scott Morrison's comments earlier this week that he was "open" to moving Australia's embassy in Israel from Tel Aviv to Jerusalem.

"I was not aware of the background of the author but when it was brought to my attention, I googled the name to find out who the author was," he said.

"It is a lesson to learn from.

"So I can only say it was a bit of carelessness of me for not checking the author and it was bad mistake."

Labor leader investigating

Mr Duke, a white separatist, was the grand wizard of the Knights of the Ku Klux Klan in the late 1970s.

He regularly airs anti-Semitic views and has previously run unsuccessfully in both the Democratic and Republican presidential primaries.

NSW Labor leader Luke Foley is investigating, and said: "I'm unaware of any post, I'll obviously look into that one this morning."

Earlier this week, Mr Morrison he was "open" to moving the embassy and would examine the arguments put forward by Australia's former Ambassador to Israel, Dave Sharma.

In December last year, US President Donald Trump announced plans to move his country's embassy from Tel Aviv to Jerusalem — a decision that stoked tensions in the region.

Mr Sharma is the Liberal candidate for Saturday's Wentworth by-election.

"I think we should be open to considering that question as Australians that the US has moved its embassy to west Jerusalem," Mr Sharma said earlier this week.