A child is dead and two other children and a woman are fighting for their lives after a stabbing attack in the Blue Mountains, New South Wales police have confirmed - a sentence that should never have to exist, delivered on a Sunday afternoon.

Emergency services were called to reports of three children and a woman with stab wounds inside a vehicle on Waratah Road, Valley Heights. Before officers arrived, members of the public had already stepped in to perform first aid on the woman and three children while contacting Triple Zero - because sometimes the first responders are just whoever happens to be nearby.

One of the children was found dead in the vehicle.

NSW Ambulance treated the two surviving children, believed to be under five, and the woman, believed to be in her 40s, at the scene before taking them to Westmead hospital, where all three are listed as being in a critical condition. A crime scene has been established, and police say they are not looking for any other people at this time - a detail that offers precisely the kind of reassurance nobody wanted to need.

At a press conference on Sunday evening, Supt John Nelson said the two children and the woman were undergoing surgery in hospital.

Nelson would not confirm whether the woman was the children's mother, but did confirm she was not known to police. He said police had made contact with the children's father, but not the wider family.

Nelson said the investigation was in its early stages and appealed to the public to contact Crime Stoppers if they had dashcam footage or other information. The officers who responded to the incident had support available to them, he said.

"Like any human being it's a tragic circumstance to be exposed to," he said.