Police found the body of Dr Preethi Reddy (32), in a suitcase in her vehicle.
Preethi Reddy, 32, was last seen on CCTV waiting in line at McDonald's in George Street in the city about 2.15 am on the day.
Dr Reddy, a dentist from Penrith, was attending a dental convention at St Leonards on Sydney's north shore over the weekend.
She last spoke with her family at about 11am on Sunday, telling them she planned to head home for a late breakfast.
SMH reports that police confirmed Reddy's ex-boyfriend has died following a auto accident near Tamworth, shortly after speaking with detectives regarding Reddy's disappearance on Sunday.
Investigators found Preethi Reddy dead in her own auto on Strachan Lane in Kingsford about 9.30pm on Tuesday, having been stabbed "numerous times".
Police said her failure to contact family for such a long time was out of character and they had serious concerns for her welfare.
'Dr Reddy is known for being a highly professional yet friendly and approachable dentist who is exceptionally good with nervous patients, ' her employee profile read.
Detective Superintendent Gaven Dengate told 2GB police questioned the man before his death.
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Inside the restaurant, footage shows Dr Reddy standing alone.
The ex-boyfriend of an Australian woman whose body was found stuffed into a suitcase has died in a vehicle crash.
She bought two bottles of water before leaving, walking south towards Market Street.
"They just asked about our details and then asked some questions about the auto, so we have heard of something unusual about the vehicle, some chatters, some people", she said.
'I just want my sister back safely, we are so anxious about her, ' Ms Reddy's sister Nithya told Daily Mail Australia before her body was discovered. "I didn't notice anything unusual about that".
It's understood Dr Reddy worked at Glenbrook Dental Surgery in the lower Blue Mountains.
"It " s devastating, and this is completely out of character", dental assistant Chelsea Holmes of Glenbrook Dental Surgery was quoted as saying by the Australian Broadcasting Corporation.
Her work colleagues said they were "terrified" and had been unable to sleep since her disappearance.
Investigations into the circumstances surrounding Dr Reddy's murder are continuing with the assistance of the Homicide Squad, a police spokesperson said in a statement.