The family of a man charged over the Christchurch mosque massacre approached NSW Police after viewing footage of the terror attack.
Australian police said the family members of the accused gunman are assisting with inquiries in Australia.
Police Commissioner Mick Fuller on Saturday said there were "no active threats" in NSW linked to the attack in New Zealand, however the national terrorism threat level remains at "probable".
Brenton Tarrant, originally from the northern NSW town of Grafton, was one of four people arrested over the shooting attacks at two mosques in the South Island city, which left at least 49 dead and more than 20 seriously injured.
"After the crime, my understanding is the family (of this man) did approach NSW Police after the incident was on TV," Mr Fuller said in Sydney on Saturday morning.
Prime Minister Scott Morrison was briefed by agency chiefs on Friday, and is expected to receive further briefings over the weekend on what he described as the "vicious and callous, right-wing extremist attack".
"I can confirm that the individual who was taken into custody, I have been advised, is an Australian-born citizen," he told reporters in Sydney, without naming the man.
"Obviously that element of the investigation Australian authorities are involved in."
Mr Morrison said he was being kept abreast of developments in New Zealand, as federal and state police along with the Australian Security Intelligence Organisation investigated.
"I want to assure all Australians that the immediate responses that are required to ensure the security and safety of Australians have already been actioned," he said.
Australia's terrorism alert level has not been lifted, but NZ's was lifted from low to high.
Mr Morrison said he had heard nothing to suggest any Australians were killed or injured in the shooting.
NZ Prime Minister Jacinda Ardern declined to reveal the nationalities of three other people taken into custody, but confirmed they were not on any security watch list.
Two bombs attached to suspects' vehicles were successfully disarmed.
The Australian National Imams Council condemned the attack and called on political leaders to do more to counter Islamaphobia.