A woman has given birth in hospital and then died after an alleged attack in Melbourne's north-west.

Police say a man threatened to assault the heavily pregnant woman outside a Kiwi Retreat property in Keilor Downs, about 20km north-west of Melbourne, about 1pm on Saturday.

The threats then "continued in a car" before the 32-year-old Keilor Downs woman fell out of the vehicle onto the road as it turned a corner, a police spokeswoman said.

The woman was flown to hospital, where she gave birth via caesarean section, before dying from her injuries.

The newborn baby remains in hospital in a critical condition.

It is unclear how the woman was ejected from the vehicle.

Late Saturday night, Homicide Squad detectives were interviewing a 35-year-old Keilor Downs man.

Anyone with information should contact Crime Stoppers on 1800 333 000 or at www.crimestoppersvic.com.au