The pregnant ex-partner of Daniel King, the man who was shot dead by police in Penrith on Wednesday night, claims she had previously warned officers he had threatened her.

Key points: Stacey Taylor claims her family were sent screenshots of texts by Daniel King of plans to have her attacked

Stacey Taylor claims her family were sent screenshots of texts by Daniel King of plans to have her attacked Ms Taylor said she contacted police about the threats, but no action was taken

Ms Taylor said she contacted police about the threats, but no action was taken The NSW Attorney-General said her claims would be investigated and domestic violence threats should always be reported

Stacey Taylor, 32, who is 27 weeks pregnant with King's child, said she went to police after seeing text messages in August that he wanted to have the baby killed.

"The threats were saying that he actually hired a hit person to bash me and stab me in the stomach to make me lose my baby so I wasn't pregnant anymore," she told reporters.

King used a shotgun to fire at Ms Taylor's Marayong home, and two police stations in Sydney's west.

Police eventually shot him dead outside Penrith Police Station about 9:30pm on Wednesday.

NSW Attorney-General Mark Speakman, who is also the Minister for the Prevention of Domestic Violence, said Ms Taylor's claims would be investigated.

Ms Taylor claims the messages had been forwarded on social media to her mother from King's new partner at the time.

She said she and her mother called triple zero when they saw the correspondence.

Stacey Taylor says King wanted her to have an abortion. ( ABC News: Mark Reddie )

"As soon I got the message, I was like, I'm not taking any of that lightly," she said.

"I've got three kids, I'm pregnant, I went through domestic violence in the past.

"There's no way I'm going to go through all of that all over again."

King fired a shotgun at Ms Taylor's house. ( ABC News )

King turned up at Ms Taylor's Marayong home about 8.45pm on Wednesday and began firing a shotgun at the property.

Ms Taylor, who had just put her three children to bed, hid and called police.

King then drove to St Mary's and Penrith where he opened fire on police stations.

Officers shot him dead on High Street, outside Penrith Police Station, about 9:35pm.

Mr Speakman said women should always report threats or acts of domestic violence.

"Women's safety has to be paramount so if any woman feels that her partner or other family member threatens her safety, she must come forward and report it to police," he said.

Ms Taylor alleged that after discovering she was pregnant, King had also briefly sent her threatening messages urging for her to have a termination.

"He was actually sending me threats for about two to three weeks after I told him I was pregnant, accusing me that it wasn't his baby, that he wanted DNA testing, he could go to DOCS to get me in trouble, [for me] to get an abortion [and] if I didn't, he was going to kill himself," she said.

Ms Taylor said she had not heard from King, who had two other children with two other partners, in more than six months before he turned up and began shooting at her home on Wednesday night.

The pair had known each other since primary school and had later reconnected and been out on "a few dates".

King was a body builder and regular at Western Sydney gyms. ( Supplied )

Ms Taylor said his actions had been a "massive, big shock", and that he was "a really nice, down-to-earth guy" but had "a lot of issues with self-harm".

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"When we first started talking to each other actually he [came] over here for about three hours crying to me in his car, because he wanted to kill himself over not being able to see his daughter," she said.

She said Wednesday night's events had made her feel "very frightened".

"I didn't think somebody that I've known for so long could be capable of doing those kinds of things."