A man who was being chased by police on the NSW-Victoria border evaded officers by jumping into the Murray River and swimming to a small island, police say.

The 37-year-old man, who allegedly was armed with a knife, remained on the island for more than two hours before he was arrested by police.

Police were called to the river at Howlong, about 30 kilometres north-west of Albury, just before 7pm on Tuesday after the man was seen in the area.

He was wanted over a domestic violence incident earlier in the afternoon, in which he allegedly held a woman captive and assaulted her.

Officers from NSW Police and Victoria Police established a perimeter on either side of the river and tried to talk to the man, who allegedly was armed with a knife.

Police say the man dived into the river and swam to the small island. Police negotiated with him, until he surrendered just after 9.30pm.

The man, from Wahgunyah in Victoria, was taken to Albury Police Station where he was charged with aggravated detain for advantage, assault occasioning actual bodily harm, being armed with intent to commit an indictable offence, breaching an apprehended violence order, and breaching bail conditions.

He also was charged with two outstanding warrants in relation to alleged domestic violence incidents.

He was refused bail to appear in Albury Local Court on Wednesday.

Police are urging anyone with information about the incident to call Crime Stoppers on 1800 333 000 or use the Crime Stoppers online reporting page.