Two other women - including one who is pregnant - were led to safety by officers at the scene on Bexhill Road, St Leonards.
Both were uninjured but were taken to hospital suffering from shock, Sussex Police said.
Officers were called to the house at 7.43pm on Friday, and a 35-year-old man was arrested on suspicion of murder two hours later.
Police said the victims, aged 32 and 53, were known to the suspect.
Detective Chief Superintendent Jason Tingley said: "Tragically two women... have died after being shot and our thoughts are with their family and friends.
"We are not looking for anyone else in connection with this incident but we are appealing for any witnesses to come forward."
Anyone with any information is asked to contact police on 101, quoting Operation Winlot.