Temperatures have mercifully begun to drop with cooler days expected to follow a snap heatwave that broke records and coincided with destructive winds.

Parts of western Sydney baked as temperatures neared 40C on Wednesday, maxing out at 39.8C in Bankstown and 39.5C at Penrith after 1pm, both record highs for October.

Closer to the harbour temperatures topped out at 37C about 2.30pm in Sydney's city centre, slightly below the October record.

Strong winds helped it feel slightly cooler in some parts as the mercury rose, while further south Victorians are being hit by destructive gusts.

Widespread gusts between 90km/h to 110km/h were expected in the state, pushing up to 125km/h along the coast, the Bureau of Meteorology's Angus Hines said.

"We'll see those strong winds impact other parts

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