The attack took place just inside the doorway of three tower buildings collectively known as Darling Park, at the corner of Sussex and Market streets.
The guard was making a cash delivery from an armoured van when armed bandits arrived in a silver Audi, police said.
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It is believed there were four robbers involved in the attack.
A shot was fired, hitting the guard, who was rushed to the Royal Prince Alfred Hospital where he died.
Police said the gunmen, all wearing balaclavas, escaped the scene.
They have warned people that the men are dangerous and should not be approached.
Police say they don't believe the robbers escaped with any cash.
