Anger over the police shooting of two indigenous teenagers in Kings Cross has boiled over outside NSW Parliament House, with friends of the boys abusing police and demanding an independent investigation.

About 150 protesters, including boxer Anthony Mundine, gathered on Macquarie Street on Tuesday afternoon to call for an independent inquiry into the shooting on Saturday morning, when officers opened fire on a stolen car after it mounted the kerb and hit two pedestrians in the popular nightclub district.

Two teenagers, including the 14-year-old driver, were hospitalised with gunshot wounds after the 4am (AEST) clash on Darlinghurst Road.

On Tuesday, a swelling crowd, angered by the shooting and footage that showed an officer dragging one of the injured teenagers from the car before striking him, eventually blocked off two lanes of Macquarie Street.

A small group of teenagers - many of them friends of the wounded boys, and some who had been drinking - climbed onto the security fence at the front of the parliament building, brandishing signs and chanting "f*** the police" at officers looking on.

Boxer Anthony Mundine said the shooting was "brutality at its best", and he and other protesters were looking for justice.

"There is no justification to open fire like that. Point-blank range, in a car, ready to be arrested, then furthermore, bash them," Mr Mundine said.

"But there has been no ramifications ... to them officers."

Mr Mundine said he knew the families of those shot on Saturday.

"I grew up with one of the boys' fathers," Mr Mundine said.

"It really broke my heart. Fighting for his life."

Douglas Martin, a 16-year-old who knew the boys shot by police, said the officers should be "punished".

"You got a reason to hate the coppers, you know, when you're a young kid. But this crosses the line. (It's) straight-out racism," the angry teenager told AAP.

"I want them to get punished. Treat them the same as normal citizens.

"Why can't they get sent to jail for shooting someone?"

Police have defended the officers' action and promised a thorough, internal investigation into the incident.

However, Greens MP David Shoebridge has called for an end to police investigating police, and has referred the shooting to the Police Integrity Commission (PIC).

Protest organiser Ray Jackson said the officer who shot the teenagers should be charged.

"Six bullets through a windscreen, then dragging the driver and the passenger out and belting them," he told the rally.

"No, Mr policeman you are no longer going to be exonerated.

"This is where we draw the line."

NSW Premier Barry O'Farrell backed the police inquiry into the shooting, saying "no-one should rush to judgment".

He questioned why the teenagers were out in Kings Cross so late at night, and said his first thoughts were for the 29-year-old woman who was hit by the youths' car and pinned underneath.

"When I saw the footage of what occurred at Kings Cross, I immediately thought what would my reaction be if that had been my sister, my daughter, caught under that car," Mr O'Farrell told reporters in Sydney.

"I as a parent know where my 14-year-old is. Before we seek to blame police, we ought to look at ourselves.

"There are questions to be asked about a 14-year-old being behind the wheel of a car, in the Cross, at that time of day."