A Sydney woman, who had $4.6 million mistakenly transferred into her bank account and who allegedly did not return it, has been arrested at Sydney International Airport while trying to leave the country, police say.

Australian Federal Police stopped the 21-year-old woman from Rhodes about 8.25pm on Wednesday as she tried to board a flight to Malaysia.

Police will allege the woman obtained an illegal financial advantage when she overdrew her account by $4.6 million in 2012.

Police allege that, four years later, the woman had still not returned the money.

A NSW Police spokeswoman said the Sydney City Local Area Command's CBD fraud unit began investigating the money transfer at the time of the incorrect transfer, and in March this year issued a warrant for the woman's arrest.