A major police investigation shut down sections of Pitt Street in Sydney on Thursday afternoon after a woman fell to her death from one of the city's most popular tourists attractions.

Paramedics responded to reports of a woman threatening self-harm at Sydney Tower in the CBD about 2:40pm.

NSW Police Inspector Robert Winkler would not comment on the circumstances surrounding her death, but said there were a number of witnesses to the incident, which occurred near the corner of Pitt and Market streets.

"This was a very traumatic situation and support has been given to a number of witnesses at this point, as well as police and emergency services," he said.

Inspector Winkler said a small number of witnesses had been interviewed by police and he appealed for any others to come forward.

He said all roads in the area were now opened and there would be no impact on pedestrians or traffic in the CBD on Thursday evening.

Witnesses reported a heavy police presence in the area, and a police helicopter overhead.

Sydney Tower Eye said on social media: "Following an incident, the attraction has been closed until further notice".