A drone has smashed into a car driving across the Sydney Harbour Bridge during rush hour traffic.

The drone, complete with camera, was captured in CCTV images flying near the bridge moments before it hit the car, causing damage to the front of the days-old Mercedes.

It hit the car so hard one of the occupants, Shilan Allan, thought someone had fallen from the bridge onto the vehicle.

Several images of the drone flying around the Sydney Harbour Bridge were captured on CCTV

A piece of the drone was left stuck into the body of the Allan's brand-new Mercedes GLS

'I was terrified to be honest, I couldn't get out of the car for a few seconds... I was expecting blood, a body,' she told 9 News.

Her husband, Dr Omid Allan, described the incident on Wednesday as frightening.

Mrs Allan said the sun roof had been open and the drone could have fallen in and killed her and her husband 'easily'.

The incident left the couple concerned about safety on the bridge and they were glad their two young sons hadn't been with them.

The drone was handed to harbour bridge security and the police are now investigating

They'd just received the car, a Mercedes GLS - the base model of which retails from a New South Wales Mercedes dealership for about $126,000 - days before the incident, The Daily Telegraph reported.

Part of the drone remained stuck in the vehicle while the mangled wreckage laid on the road.

The remnants were handed to bridge security and on to police, who were investigating the incident, 9 News reported.

A Civil Aviation Safety Authority spokesman said the harbour bridge had restricted airspace - including for drones - and fines for breaching it could be as much as $9000, according to The Daily Telegraph.