The shooting happened at about 8 p.m. near 111th and Monterey in Chicago's Morgan Park neighborhood.
Two vehicles were involved in a pursuit in the area when someone inside one vehicle fired at the other, police said.
The victims' vehicle pulled into the police station parking lot and the offending vehicle followed, firing several rounds, police said. The victims' vehicle and the 22nd District Station were struck.
Both victims were transported to the University of Chicago Medical Center in critical condition, authorities said. One female victim was pronounced dead.
No one is in custody.
Authorities have not provided further information about the incident.