Sydney police say they are "keeping an open mind" in their investigation into the death of a woman found on North Cronulla Beach on Wednesday morning.

The woman, who was "Indian or subcontinental" in appearance, was found by two women exercising in the area around 5:00am.

The woman's body was wet and she was fully clothed, police said. She had also suffered an injury.

Police are yet to work out a cause of death for the woman — who they said was between the ages of 16 and 30 years old — but were treating it as suspicious.

Speaking to media on Wednesday, Detective Chief Inspector Terry O'Neill said the injury would not have caused her death.

"We're keeping our mind open," Detective Chief Inspector O'Neill said.

Police established a crime scene at North Cronulla after the body of a woman was found. ( ABC News )

"[Regarding] what the circumstances are, [we're] ensuring that they are fully investigated.

"She was lying face down. The lady sustained an injury, but apart from that one injury there were no other external injuries."

Police said the woman was wearing a long-sleeve black turtle neck, maroon pants and black running shoes.

"We had PolAir do a flyover of the ocean to ensure there was nothing else in the water," Detective Chief Inspector O'Neill said.

Local Lazarus Theodoradis said he saw police with a tent around the body.

"They blocked half the road," he said. "It looked like a murder or something."

He said it was very unusual for the idyllic beachside suburb.

"[I've] never seen that happen … it's not a good thing."

An autopsy is scheduled for Thursday.