UPDATE 11.20am: NSW Police has released a statement saying that they have found "a number" of items in Penrith.
"Penrith Local Area Command and the Rescue & Bomb Disposal Unit attended Smith Street at Penrith where they conducted an initial examination of a number of unattended objects. The examination has not been able to determine the contents," police said.
"They will be removed and forensically examined. Police will endeavour to reopen the area as soon as possible."
EARLIER: A bomb has reportedly been discovered at an electrical substation in Sydney's west, with police on scene and local roads closed off.
The Daily Telegraph reports bomb squad officers are responding to what is believed to be a petrol bomb with a detonator attached in Penrith. The Daily Telegraph reported the device to be "a lunch-box sized container full of a petrol-looking substance and a device similar to a mobile phone attached with wires protruding."
A NSW Police spokeswoman told The Huffington Post Australia that an operation was currently underway at Smith Street, Penrith, but said she could not confirm any additional details at this time.
"Smith Street and Fragar Road are currently closed. Motorists are advised to avoid the area," the spokeswoman said.
More to come.