The apparent shooting deaths of a woman and three children at a NSW Riverina property has left the local community devastated.

A woman and three children shot dead at a property in the NSW Riverina district were well known and well respected in the community, residents say.

Police found the bodies of the woman, aged in her 40s, and two girls and a boy, aged 10 and under, inside a house on the Lockhart/Boree Creek Road in Lockhart on Tuesday afternoon.

Grave concerns remain for a man, aged in his 40s, who remains unaccounted for while a search of the property is under way.

Lockhart Shire Mayor Peter Yates said the farming family was “well-known and well-respected” in the community.

“I just can’t believe it,” he told AAP.

“We feel for other relatives of course.

“We are not sure why it has happened but I suppose as time goes on we will find out.”

A Lockhart resident working at a service station told AAP the deaths would be felt in the small community.

“God yes,” said the woman who declined to be named.

“We’re only a tiny little village.”

“We’re all so sad.”

Police on Tuesday said while a post-mortem is yet to be conducted, they are believed to have all suffered gunshot wounds,” police said in a statement on Tuesday night.

Police are now looking for a man who is understood to have lived at the property.

“We’re very concerned for the welfare of that individual,” Commander of Wagga Wagga local area command, Superintendent Bob Noble, told the Daily Advertiser.

“It’s very early in the investigation.”