Prime Minister Malcolm Turnbull has congratulated Michelle Payne for becoming the first female jockey to win the Melbourne Cup.

"It's a great win for the horse, but it's fantastic for a woman jockey to win at the Melbourne Cup for the first time," he said after watching the race at The Commodore Hotel in North Sydney.

Mr Turnbull, who admitted he wasn't "much of a punter", had tipped Irish horse Bondi Beach to win the race and placed a $20 bet.

"I knew it was a long shot, but that's how these things go," he said.

The PM didn't have much luck in his office sweep either, pulling race favourite Red Cadeaux which failed to finish.