A 34-year-old sergeant shot his girlfriend dead and then turned the gun on himself at his home in Norwood, according to Gauteng police.
The shooting took place at about 10:30 on Saturday.
According to police spokesperson Colonel Dimakatso Sello, the woman was certified dead on the scene and the sergeant was taken to hospital.
He died when he arrived at the hospital.
Sello said the circumstances that led to the incident were unknown.
A murder case and an inquest are under investigation.