Cops have sealed off the beach while investigations continue into exactly what happened.
Local media reported a 30-year-old woman and 40-year-old man fell from a height of 30 metres.
The couple were in Portugal for a friend's recent wedding before the fatal cliff wall fall (pictured).
Captain Rui Pereira da Terra heads the rescue service in the nearby Cascais port and he said a mobile phone was found near the bodies.
"It seems that (the victims) might be getting a "selfie", when they let the phone fall, leaned over to grab it and fell", he was quoted as saying.
The Department of Foreign Affairs and Trade (DFAT) told Australian Associated Press (AAP) that it was "providing consular assistance to the family of an Australian who died in Portugal".
Portuguese officials said the pair are thought to have been on the 30-metre (100ft) high wall before they died.
The spokesperson did not confirm the nature of the incident or say how the woman died.
Britain's Foreign and Commonwealth Office added: "We are in touch with local authorities following the death of a British woman in Portugal and are providing support to her family".
"Owing to our privacy obligations we will not provide further comment". Picture: SuppliedThe large stone wall sits 30m above the popular surf beach.
It is a popular hotpot, with countless tourists uploading their pictures of the enormous wall on Instagram.
The couple's bodies were taken to a medical centre while authorities contacted the Australian and British embassies in Lisbon.