Emergency services were called to a home on Weston Street, Revesby just before 8.50pm on Saturday where they located the pair, aged 36 and 48, inside a car.
NSW paramedics attempted to save the 48-year-old however she died at the scene.
The 36-year-old was taken to Liverpool Hospital in a critical condition, where she later died.
A man and a woman, who were unharmed, were also inside the vehicle at the time emergency services arrived.
An investigation into the incident is underway and a crime scene has been established.
It is not known if the incident is linked to recent gangland shootings in Sydney.