A woman allegedly held captive as a sex slave in a NSW rural town by an ex-soldier who proclaimed himself a bondage master was subjected to death threats and forced into prostitution with no pay, according to police.

Australian Federal Police (AFP) today detailed further disturbing alleged treatment of the woman, who told officers she was made to wear a collar and had a slave number tattooed on her body.

A former soldier, James Robert Davis, 40, has been charged with slavery offences after he was arrested last Thursday in a Bunnings car park at Armidale, on the NSW northern tablelands.