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.
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.
