Three women are dead, and another two people are seriously injured after a Sydney police chase.

Police say officers began pursuing a car in Marayong early on Saturday morning when it didn't stop for random breath testing.

The car crashed shortly after the chase began, and two women died at the scene.

A third women died after being taken to Westmead Hospital, while another woman and a man are in a serious but stable condition in the hospital.

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All those dead and injured were in the car, police told AAP.

Police have launched a critical incident investigation, to be overseen by the Professional Standards Command.

-AAP