Officers said the women, 29-year-old Tierra Underwood and her cousin 24-year-old Benita McMillian, were found lying outside of the back door of Underwood's home at the Melvin Place Apartments.
Police have arrested and charged 24-year-old Jermaine Johnson with two counts of first-degree murder.
Eyewitnesses said Johnson was the father of McMillan's 2-month-old child.
"When she got home they were standing outside smoking a cigarette," said one of Underwood's friends who did not want to be identified. "I guess he walked up up on them without them knowing and shot both of them."
After the shooting, another woman told ABC11 that Johnson went to her house with the baby in his bloody hands and told her to call 911.
"They were like asking him questions and he was getting mad. So he was just like, 'Just forget it, they dead already. They dead. Just forget it,'" the woman said. "And he walked back across the street to another neighbor house, gave her the baby. They told me to get the baby and hold the baby."
Investigators said McMillan and Underwood were shot while three children -- an 8-year-old, a 4-year-old and the 2-month-old -- were inside the home. None of them were hurt.
Johnson allegedly confessed to the shooting to several residents in the apartment complex.
"He said, 'I killed both of them,'" an eyewitness said. "He said, 'I toss the gun on the side over that way.'"
They said it was a domestic dispute stemming from Underwood not wanting Johnson at her home after an apparent argument the other night.
Johnson waited for police to arrive at the scene and turned himself in without a struggle.