Victorian senator Derryn Hinch has split with Catherine Cumming, one of his three new Victorian MPs, just one week after she was elected.

Mr Hinch released a statement on Tuesday revealing that Ms Cumming will instead be sworn in as an independent and claimed she had threatened to quit after her colleagues failed to back her as their leader.

The statement claimed Ms Cumming, a former mayor of Maribyrnong, was disendorsed after losing a leadership ballot.

It also claimed that Ms Cumming said upon losing the ballot: "If you don't elect me as leader, I will throw my toys out of the pram. I will quit."