The incident happened early Wednesday morning at the Franklin Court Apartments on Second Street in Louisburg.
Police say they went to the couple's home Tuesday night for a domestic call and found the woman, Rosemarie Guzman, beaten. Her boyfriend, Gregory Hicks, was nowhere to be found.
The Louisburg police chief says officers tried to help get Guzman and her children to a safe place while they searched for Hicks.
"We did everything we could. We tried to persuade her to go to the shelter last night while we were looking for him and obviously she wanted to come back," said Police Chief Rick Lassiter.
The decision to come back home may have proved to be fatal. Police say Hicks eventually returned to the apartment where Guzman was with their two children. Hicks then shot and killed her before turning the gun on himself.
The chief says they still don't know if the children saw what happened but they were in the apartment. One of the bullets went through the wall and into the living room where they children were found.
The children were not hurt and they are currently staying with their grandmother.