Police said the bodies were found inside a home in the 300-block of Van Buren Avenue at about 1 p.m. Tuesday.
Investigators spent time Tuesday afternoon processing the scene and questioning neighbors.
The Lake County Coroner identified the victims as Manuel F. Alfaro, 52, and Heather Rayner, 39, both of New Chicago. Both died from gunshot wounds, the coroner said. Both deaths have been ruled homicides.
The investigation is ongoing.