Firefighters were called to the Lakeshore Dunes apartment complex building located in the 5800-block of Kennedy Terrace just after midnight.
The victims have been identified as Bernice King, 33, and her 14-year-old daughter Angel Harris.
King's last call for help was to her sister.
"She was screaming at the top of her lungs, please help me, please help me, my apartment is on fire," said Michelle King, Bernice's sister.
But it was too late. A fast-moving fire had already engulfed the apartment King shared with her seven children in Gary's Miller community. She and her daughter did not make it out.
"The kids were being handed down, so we're trying to get the kids. We saw the mom and the daughter and they were still trapped, we were trying our best to get them out," said Ronald Rochelle, victim's neighbor.
The Gary fire chief said it took over an hour to get the fire under control.
Four of King's surviving children, who range in age from six to 20 years old, were taken to the hospital with smoke inhalation. They are expected to recover. A firefighter was also hurt.
King's sister says, and police confirm, that her apartment was the target of gunshots the night before.
"Her son was receiving texts and threats on his Facebook from another guy and they told her what they were going to do," said Michelle King.
"She was a wonderful friend, a wonderful mother. Hardworking. She didn't deserve this," said Cassie Elkins, victim's friend.
Gary police held their four o'clock roll call Wednesday at the Lakeshore Dunes apartment complex. The mayor and fire chief were also present.
"We want to send a message to the community that this matters, that every life we lose in this community matters and that we are working feverishly to make sure that any person that is responsible for these actions is held accountable," said Karen Freeman-Wilson, mayor of Gary.
There is no word yet on what was used to set the fire.