A review has been ordered into the death of an Aboriginal man who died at Victoria's Port Philip Prison following a hospital visit last Wednesday.

In a statement posted to its website, Corrections Victoria confirmed the deceased inmate was an Aboriginal man in his early 30's.

The man died in the medical unit of the maximum-security prison, having only been transferred to St Vincent's Hospital for treatment earlier that same day.

"It is with great sorrow that Corrections Victoria acknowledges the recent passing of a 32-year-old Aboriginal man at Port Phillip Prison", the statement read.

"The passing of any person in custody is a heartbreaking tragedy and everybody at Corrections Victoria sends their deepest condolences to the man's family."

"We recognise that all deaths in custody have impacts on family members, friends, victims and the broader Aboriginal community, and we're working to ensure they are provided with the support they need."

Victorian Premier Dan Andrews said a review into the man's death would be undertaken by Corrections Victoria.

"They will look carefully at what has occurred here and if there are any learnings if there is anything that needs to change then, of course, they'll make those changes," he said.

"There's a whole raft of different measures that we are putting in place to provide better healthcare, better criminal justice outcomes, better outcomes in a broader context as well as dealing with the unique needs of First Nations Victorians in custodial settings."

Corrections Victoria said culturally appropriate support would be provided to the man's family.

"The family are central to our response as well as ensuring that we are continuing to support those who are within our care in a trauma informed and culturally responsive way", Corrections' Victoria's statement read.

"We are working closely with the family and Port Phillip Prison to ensure all appropriate supports are in place and any cultural consideration are taken into account as well as the organisation of a smoking ceremony being conducted and made available.

"The Aboriginal Justice Caucus has been advised, and the Department of Justice and Community Safety will continue to work closely with the Caucus and the First Peoples' Assembly of Victoria."

In accordance with usual process, the Coroners Court of Victoria will formally determine the man's time and cause of death.

Federal Victorian Senator Lidia Thorpe took to Twitter to describe the incident as "overwhelming".

"The grief, the pain and the loss is overwhelming," she said.

"The family demands respect and privacy as they process their grief."