A driver in the 7200-block of South Jeffery Boulevard saw the girl and boy, about 2 and 3 years old, and alerted authorities about 12:30 a.m.
The girl was wearing a coat and boots, but the boy had no coat, Chicago police said. Police said the children were unable to tell officers their names.
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They were taken to Comer Children's Hospital and are expected to be OK.
DCFS has been notified and a family member of the pair was contacted, Chicago police said.