The two were found on Monday after a police officer said they saw a parked car near the 700 block of North Division Street with its hazard lights on at about 11:52 p.m.
As the officer approached, they found two people dead.
The woman, 29, was in the driver's seat, and the man, 30, was in the passenger seat.
Police now saying both victims were from Sharon, Wisconsin.
They both had gunshot wounds; police said they found a gun in the car.
The McHenry County Major Investigative Assistance Team is investigating the incident.
No other information was available.