Police and the Australian Parachute Federation are investigating the death of an experienced skydiver near Lake Alexandrina in South Australia.

The 45-year-old man from Modbury Heights in Adelaide was one of five skydivers who jumped out of a plane near Wellington, about 4:30pm ACDT on Friday.

The others landed safety, but the man's parachute failed to open and he hit the ground.

A spokesman for the company, Skydiving SA, said the state's skydiving community was in shock over the death and he expressed sympathy to the man's family and friends.

It is said to have been the first skydiving death in South Australia in at least two decades.