Ben Roberts-Smith has reported to police for the first time under his strict bail conditions, wearing a cap emblazoned with the words 'Black Sheep' three days after being released from custody. 

The Victoria Cross recipient, who stands accused of the murders of five Afghans between 2009 and 2012 while he served with the Special Air Service in Afghanistan, must report to police three times a week while out on bail.

Roberts-Smith was spotted outside an undisclosed NSW police station on Monday morning reporting for bail.

The grey cap with 'Black Sheep' written on it is made by Goorin Brothers, and typically retails for about $140.   

When asked by media how he felt about reporting to police, Roberts-Smith, 47, responded: 'It's got to be done mate... just another day.'

He also responded to supporters who yelled at him from a nearby café.  

'Good on ya Ben, legend,' a man shouted as Roberts-Smith waved and gave the thumbs-up.

He later returned to a silver Audi driven by his partner, Sarah Matulin, who had dropped him off around the corner and told reporters he was going to the gym. 

Roberts-Smith's bail appearance comes less than 24 hours after he slammed the actions of police as 'sensational' in his first public address since he was charged with alleged war crimes.

While holding a brief press conference on Queensland's Gold Coast on Sunday afternoon, Roberts-Smith said the high-profile nature of his arrest at Sydney Domestic Airport on April 7 had significantly impacted his family.

'I understand this is an unprecedented case and the public interest is huge... but I'd ask that the media please allow my family their privacy at this time, particularly my children, who have already unfortunately suffered through a deliberate sensational arrest that was made last week,' Roberts-Smith said.

'An unnecessary spectacle. I understand this journey will be long, I understand this journey will be difficult, but I can promise everybody that I have never ran from a fight in my life.

'I will never give up and I will always be in the fight.'

He said he looked forward to 'clearing his name in court'.

'As I've always maintained, I categorically deny all of these allegations, and while I would have preferred these charges not be brought, I will be taking this opportunity to finally clear my name,' he said.

'I'm proud of my service in Afghanistan. While I was there, I always acted within my values, within my training, and within the rules of engagement.'

Roberts-Smith also said he was 'extremely proud' of the men and women that served alongside him in Afghanistan and paid tribute to those who made the 'ultimate sacrifice.'

He also thanked Ms Matulin, his 'beautiful' 15-year-old twin daughters, his parents, and Ms Matulin's family for their 'unwavering' support, and made reference to the 'millions of Australians' who had reached out to him to offer their support.

'It means a great deal to me and is extremely humbling,' he added.

As he wrapped up his address, Roberts-Smith said he wouldn't be taking questions from reporters and quickly walked off hand-in-hand with Ms Matulin, who was standing beside him as he gave his statement.

Roberts-Smith was granted bail on Friday after Local Court Judge Greg Grogin said the former soldier would likely spend 'years and years' in custody if bail was refused. 

Among the strict bail conditions facing him are restrictions on his travel outside of his home state of Queensland (unless for legal or medical appointments), the surrender of his passport, and the restricted use one phone and one laptop, the details of which must be provided to police.

He has also been banned from contacting any prosecution witness directly or through another party.

The court also demanded a $250,000 surety, which would be forfeited if Roberts-Smith failed to attend court, or in any way breached his bail. It's understood his father Len, a former judge, had offered to provide that surety.

Roberts-Smith is accused under the Commonwealth Criminal Code of shooting dead an unarmed Afghan, murdering another with an SAS comrade, and ordering the execution of three more.

Roberts-Smith's arrest came almost three years after he lost a defamation action against Nine newspapers, which published a series of reports in 2018 accusing him of being a war criminal.

The case against Roberts-Smith will be run by the Commonwealth Director of Public Prosecutions and his defence funded by the Afghanistan Inquiry Legal Assistance Scheme.

Each of the charges against Roberts-Smith carries a maximum penalty of life in prison.

He has always denied involvement in any unlawful killings.

He is due to face court again on June 5.