WENTWORTH residents have been exempt from South Australia's latest border closure with New South Wales.

SA has closed its borders to most of NSW because of the rising number of COVID-19 cases in Sydney, although there will be a 100-kilometre buffer zone along the border to allow people living in far western communities, including Broken Hill, to still travel into SA.

Premier Steven Marshall says the situation in NSW is deteriorating and immediate action has been taken to keep South Australians safe.

The ban will not apply to essential workers, returning South Australians and other people granted exemptions.

"It's unfortunate that this has to be done. We do recognise this causes a significant impact on people," Police Commissioner Grant Stevens said.

"Clearly, the advice from SA Health has created an elevated level of concern."

Mr Stevens said people already in transit to SA, by air or road, would be managed at the airport and on the border and either granted exemptions or turned around, depending on their individual circumstances.

People allowed to stay may be still required to quarantine for 14 days.

The border closure follows more reported virus cases in Sydney on Wednesday, taking the current outbreak to 31.

Victorians can travel to SA, but need to get tested on the first day of their visit and isolate until they get a negative result.