NSW Police has launched a critical incident investigation following the death of a man while in police custody at Goulburn.

About 12pm on Sunday 5 March, police arrested a 54-year-old man for an alleged aggravated break and enter on Hume Street, Goulburn.

The man was taken to Goulburn Police Station where he complained of chest pains.

NSW Ambulance paramedics were called, but the man collapsed a short time later. CPR commenced; however, he could not be revived.

A critical incident investigation team from Murray River Police District will now investigate all circumstances surrounding the incident.

That investigation will be subject to an independent review by Monaro Police District.

A report will be prepared for the information of the Coroner.