Emergency services were called to the mine on Endeavour Mine Road, Cobar, about 450km east of Broken Hill, at about 3.45am, after reports two people were critically injured in a workplace incident.
On arrival, police were told a man had been confirmed dead after an underground explosion.
Two women were brought to the surface, however, one has since died.
The second woman has been airlifted to hospital after suffering hearing damage and shock.
Emergency services remain at the scene.
Police will prepare a report for the coroner and assist SafeWork NSW with the investigation.