Man allegedly claimed he killed his sister

A woman's body has been discovered in a home on the NSW South Coast after a man walked into Gladesville Police Station with stab wounds, allegedly telling police that he had stabbed his sister to death.

Paramedics were called to the police station, which is 76kms from where the deceased's body was found, after the man walked in with apparently self-inflicted stab wounds.

Paramedics took the man to Royal North Shore Hospital.

Almost half an hour later, police attended a home in Hobart Street, Bulli, and discovered the woman's body.

The street was cordoned off and a crime scene established.

Wollongong Police sergeant David Munro said police "were alerted to a possible murder about 5.30 this morning".

"We just got a call to say this person was at the address and apparently deceased," he told the Sydney Morning Herald.

The police sergeant also said that he "would imagine" the woman was found with stab wounds but could not confirm this.