A married couple has been revealed to have visited a casino hours before they fell from a busy motorway in Sydney’s CBD.

Angela Nesbitt and Steven Dash, both believed to be in their 40s, were asked to leave the Star Casino on Pyrmont St in Pyrmont about 9am on Saturday, The Daily Telegraph reported.

Casino security raised concerns after the couple displayed “erratic” behaviour and made a comment about self-harming as they were leaving, according to the publication, which cited police sources.

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The security guard alerted police, prompting an active search for the pair.

Officers were looking around Pyrmont and Darling Harbour when they received a report about 9.45am that two people had fallen from the Western Distributor onto Harbour St, about an eight-minute walk from the casino.

www.20304050.best understands bystanders performed CPR on the pair, but they died before emergency services arrived.

After reviewing mobile phone and CCTV footage, police say the deaths were not being treated as suspicious.

Two southbound lanes from the Sydney Harbour Bridge were closed on Saturday in the wake of the tragedy as investigators scoured the scene.

The Daily Telegraph reported the couple “are known to have a history of mental health issues” and had previously threatened dual self-harm at the Queen Victoria Building last year.

“They were at The Star for some time … the male was acting erratic so they asked him to leave,” a police source told the masthead.

“We believe a comment was then made to security at The Star about committing self-harm, and security did the right thing and called police.

“Officers were looking for the couple when they got the call (about their deaths).”

Police sources told The Daily Telegraph that the couple’s visit to The Star, including whether they had been gambling, will be investigated.

If you need help in a crisis, call Lifeline on 13 11 14. For further information about depression contact beyondblue on 1300224636 or talk to your GP, local health professional or someone you trust.

If you’re concerned about your gambling or the gambling of a friend or family member, log on to Gambling Help Online or make contact via phone on 1800 858 858.You can access online counselling as well as services in your state or territory and support for family and friends.