The victims were found fatally shot in the 100-block of West 105th Street, police said.
"At this point, everything is still unfolding," said First Deputy Superintendent Kevin Navarro, of the Chicago Police Department. "We have more questions than answers. We are in the infancy of the investigation."
Police responded at about 12:30 p.m. to the home after receiving an anonymous 911 call stating that there were five people dead inside a home.
Family identified two of the victims as Shacora Jackson, 41, and Elijah Jackson, 36, who were brother and sister. Shacora Jackson's 2-year-old son was not shot, but transported from the scene to a hospital for observation.
Shacora Jackson was also seven months pregnant, family members said.
"I'm totally speechless. I'm devastated. I'm hurt. I don't know what type of person would go in and do that to a complete, whole family," said a victim's cousin, Bakirah Woods.
Police are investigating the shootings as a possible domestic situation.
Editor's Note: An earlier version of this story incorrectly stated that five people were killed.