They have been named locally as Francie and Nan O’Reilly.
Their bodies were found at Bonnys caravan park on the Tullybrannigan Road in Newcastle, Co Down around 3 pm on Wednesday afternoon.
The couple, who were in their 70s, were long term residents on the site.
A three-pronged investigation by the PSNI, the Health and Safety Executive and the Fire and Rescue Service is trying to establish if their deaths were caused by carbon monoxide poisoning inside their caravan.
Inspector David McClements confirmed: “Police attended a caravan site on Tullybrannigan Road in Newcastle at around 3pm this afternoon, Wednesday 21st January.
“Two bodies were discovered at a caravan on the site and a multi-agency investigation is now underway into the cause of the deaths.
“There are no further details at present,” he said.
South Down MP Margaret Ritchie said that she was shocked and deeply saddened to learn of the sudden deaths.
“I have been in touch with local police who have informed me of the discovery of two bodies in a south Down caravan site,” she said.
“I understand that police are treating it as suspected carbon monoxide poisoning at this stage.
“I want to extend my deepest sympathies to the families of these two people who are undoubtedly going through a deeply traumatic and difficult time.
“I’m shocked and deeply saddened by this awful discovery.”
A spokesman from the Health and Safety Executive Northern Ireland (HSENI) said: “HSENI is looking into the circumstances of a fatal incident at a caravan park in the Newcastle area.”
The bodies of the elderly couple have been taken away for a post mortem examination.