A "small improvised device" exploded in a laneway near a school in western Sydney this afternoon, police say.

The "device", which appeared to be a small bottle, was found on Timesweep Drive, St Clair by officers about 2pm.

It was "filled with [an] unknown liquid substance" and exploded before officers arrived, police said.

Students from the nearby St Clair Public School were evacuated, but no one was hurt and nothing damaged in the explosion.

A police spokesman said the bomb squad was not called and the explosion was "not large".

Police do not know whether it was a prank or something else, but are investigating and urge anyone with information to phone Crime Stoppers on 1800 333 000.