Two female MPs have been set upon by extremists after criticising a prominent neo-Nazi rally that police concede was not the first approved gathering of the right-wing extremists.

Federal MP Allegra Spender and state MP Kellie Sloane, whose overlapping electorates in eastern Sydney include large Jewish populations, have referred to police several inflammatory threats directed towards them on Sunday.

The threats followed the MPs condemning 60 black-clad men shouting Nazi slogans and unfurling a large banner across the gates of NSW parliament on Saturday, carrying the slogan: "Abolish the Jewish Lobby."

The men were linked to the National Socialist Network.

A leader of one neo-Nazi group urged his "patriots" to "rhetorically rape Allegra Spender", triggering hundreds of messages aimed at

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