Emergency services were called to the Body Fit gym on Parramatta Road in Auburn after reports of a shooting at about 8pm on Tuesday.
Omar Zahed was treated for multiple gunshot wounds to his stomach, arms and legs.
"He was in cardiac arrest and sadly could not be saved," NSW Ambulance said in a statement.
Tarek Zahed, who is in his early 40s and the eldest of the brothers, suffered up to 10 gunshot wounds to his body, including to his head, and was taken to Westmead Hospital in a critical condition.
The shooting comes just two weeks after gangland figure Mahmoud 'Brownie' Ahmad was gunned down on a Greenacre street.
NSW Police Commissioner Karen Webb said the latest shooting could have been retaliation for the killing of Ahmad.
"We can't rule it out. Some of these people are in conflict with a number of other groups and it is hard to pinpoint if it is direct retaliation or not," she told Sydney radio 2GB on Wednesday.
She promised to allocate 30 more officers to Strike Force Raptor, which deals with outlaw motorcycle gang criminal activity.
"Enough is enough," she said.
"The community in southwest Sydney, western Sydney, have had enough."
NSW Police had warned Tarek Zahed there was a bounty on his head.
"Some of these people think they're invincible," Commissioner Webb said.
"What else can you do?
"You try and warn them but they just live their lives like they are larger than life."
Police are investigating if burned out cars found in nearby suburbs were linked to the shooting.
NSW Labor has renewed its calls for Premier Dominic Perrottet to take action on gang violence in western Sydney.
Last week, Investigations and Counter Terrorism Deputy Commissioner David Hudson told a parliamentary hearing there had been 11 Sydney gang-related homicides sparked by rivalries in the criminal underworld.
Since June 2020, there have been more than 40 major known violent incidents between gangs in NSW.
Police are also investigating a targeted shooting at a home on Milford Road, Londonderry, in Sydney's northwest, just before 9pm on Tuesday.
Police say a 37-year-old man was shot in both legs by a man wearing hi-vis clothing and a face covering who burst into the home.
The injured man was treated by paramedics and taken to hospital in a serious but stable condition.
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