The Traffic Management Centre said a "kangaroo" was seen about 5am on Tuesday travelling south on the bridge.

A police spokeswoman said the marsupial started in lane eight before hopping across a number of lanes on the bridge and exiting onto the Cahill Expressway and turning down Maquarie Street, heading for the Conservatorium.

The speed on the Harbour Bridge was reduced while the wallaby was making its way south, and police pursued the animal before taking it into custody at the Conservatorium of Music, the police spokeswoman said.

A caller named Jesse told 2GB he thought there had been an accident on the Harbour Bridge before he spotted the creature.

"There was some flashing lights saying there's an accident on or something, so I'm slowing down to 40, and the next thing I see a kangaroo just sitting there in the lane," he said.

Another driver, Ray, who was heading into the city, told the radio station he saw it standing in the middle of the Cahill Expressway at Circular Quay.

"It was just standing there minding its own business with a police car there with flashing lights and everything," he said.

"I'm from the bush so I'm used to seeing them roaming about all over the place, but I've never seen one so close into the city before".

Dean told 2GB he had to slow down to check that it was real.

"There was a police car or something following it at a really slow pace and there was a lot of cars behind it, so nothing was getting past," he said.

"It was just hopping down the street: Never seen anything like it. That's Australia for you."

The police spokeswoman said officers were not sure if the wallaby had been hit by a car but it appeared to be in some distress, so they took the animal to Taronga Zoo to be assessed by a vet.

It's understood the wallaby might have come from the Cammeray Golf Course.

Another driver, Michelle told 2GB she couldn't believe what she was seeing when she spotted the marsupial.

"I thought 'No, no way do you see a kangaroo in the city like that'. I've only seen them in the country," she said.

"I just thought of people's safety and the safety of the little kangaroo or wallaby."