A woman has died after a devastating bicycle crash in the NSW border town of Albury.

Emergency services rushed to Forrest Hill Ave just after 10.30am on Friday following reports a cyclist had fallen while riding down a steep hill.

Police said the 63-year-old woman lost control of her bike before crashing.

Despite desperate efforts by paramedics, she died at the scene.

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A crime scene was established as officers from the Murray River Police District launched an investigation into the circumstances surrounding the incident.

A report will be prepared for the coroner.