A stubborn heatwave is settling in across NSW with little relief in sight for days as warm air blown in from central Australia blankets the state.

The mercury is forecast to hit 38 degrees in Penrith on Monday, with Parramatta only slightly cooler on 33 degrees.

"Then it just gets worse all through the week," said senior forecaster at the Bureau of Meteorology Neale Fraser.

The heat will remain above 35 degrees until a cool change and showers forecast for Thursday.