A member of the US Navy's elite skydiving demonstration team plunged to his death on Sunday when his parachute failed to open while performing in an aerial exhibition as part of New York Harbor's annual Fleet Week festival.

The parachutist was pulled from the waters of Morris Canal near the mouth of the Hudson River moments after the accident, witnessed by thousands of spectators watching the show from Liberty State Park in Jersey City, New Jersey.

The skydiver, a member of the Navy SEALs commando unit that operates under the Naval Special Warfare Command, was pronounced dead at the Jersey City Medical Center, Rear Admiral Jack Scorby said.

The Navy man's identity was being publicly withheld pending notification of his family.