Australian Federal Police Commissioner Andrew Colvin says he was "saddened and surprised" by the abrupt firing of FBI director James Comey by US President Donald Trump.

Mr Trump fired his top law enforcement official three weeks ago in the midst of a high-level FBI investigation into links between Mr Trump's election campaign and the Russian government, kicking off a political storm that has engulfed the presidency.

The White House has said Mr Comey was fired for incompetence and lack of confidence of FBI staff, and US media have reported that Mr Trump told Russian officials visiting the Oval Office that Mr Comey was a "real nut job".

But after a wide-ranging speech to the National Press Club in Canberra, Mr Colvin, who knows and has worked with the sacked FBI head, described his former US counterpart as a man of integrity and a good leader.