Police have set up a taskforce to investigate a double shooting in Sydney's west on Tuesday afternoon that has left one man dead.

Officers and paramedics were called to a transport business at Hassall Street in Wetherill Park just before 4pm (AEDT) after reports of multiple gunshots fired outside the business.

A 45-year-old man died at the scene and a 31-year-old man was taken to Liverpool Hospital with an injury to the arm.

Police will not say if the men were known to them.

A crime scene has been set up and Acting Superintendent Steven Thomas says investigations will continue through the night.

"The persons are connected with the business but that's all I'm prepared to say at this point in time," he said.

He says the deceased man's family is at the scene.

"This is a very tragic event obviously in the circumstances of a person dying as a result of these injuries," he said

"The family has been present on the scene, very distraught by the situation and we do seek obviously assistance from the public in relation to any information."

Strike Force Lambourn has now been established to investigate and is made up of officers from State Crime Command, the homicide squad and local police.