Prime Minister Scott Morrison has been the victim of an attempted "egging" by a protester at a Country Women's Association function in Albury in NSW.

Television footage of the incident shows a young woman wearing a beanie and wielding a six-pack of eggs attempting to crack an egg on Mr Morrison's head.

The prime minister reacted as if an object or a hand touched his head, but the egg appears to have flown over his head and was later found whole and unbroken.

A 25-year-old woman is now in Murray River Police custody following the incident and inquiries are continuing.

An older woman at the function was knocked to the ground in the incident.

Outside the venue, the protester told reporters she didn't mean to knock the other woman down.

"I don't want to give a report, no thank you. I've got to go to work. No comment," she told reporters.

She denied using violence, describing the action as "the most harmless thing you can do".

It's understood the young woman was protesting the coalition government's asylum seeker policy.

Mr Morrison came to the aid of the woman who had been knocked over.

"My concern about today's incident in Albury was for the older lady who was knocked off her feet," the prime minister later tweeted.

"I helped her up and gave her a hug. Our farmers have to put up with these same idiots who are invading their farms and their homes."