A 72-year-old man is dead after a yacht capsized in Sydney's south on Monday morning.

Police said a woman swam to shore at Boat Harbour, near Kurnell, about 5am and raised the alarm with emergency services.

The NSW Ambulance helicopter and NSW Water Police began searching the area, and at 5.48am they found the man's body near Wanda Beach, about four kilometres from where the woman swam to shore.

The rescue helicopter winched the man to shore, but he could not be revived.