A 29-year-old man has died during a siege at a property west of the NSW Blue Mountains.

Authorities said the man died during a police operation at a home in the small town of Bowenfels, near Lithgow, on Monday after a couple barricaded themselves inside overnight.

The siege began about 12.15pm on Sunday when officers were called to the property, following reports a man and woman were fighting.

Police were told the man had a firearm and concerns were raised for his welfare.

Officers spoke briefly with the pair from a distance before the couple retreated inside, locked the doors and refused to come out.

Police cordoned off the property, locked down neighbouring streets, stopped trains running between Lithgow and Bathurst and called in negotiators and the Tactical Operations Unit.

“About 4.20pm, a number of shots were fired from the home in the direction of police, with police returning fire,” police said in a statement on Monday.

“No one was injured during the exchange.”

Officers continued to try and engage the pair in conversations overnight, to no avail.

Just before 8.50am on Monday, a 20-year-old woman emerged from the property when police entered the home and found the body of a man.

“It is reported that he had sustained a gunshot wound, which is suspected to be self-inflicted,” police said.

He has not been formally identified but it is believed he was 29.

The woman is helping police and an investigation has begun by a Critical Incident Investigation Team.

Those investigations will be subject to an independent review, including by the Law Enforcement Conduct Commission.

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– AAP