Another Coast Guard member found the victims Thursday at their work areas inside the Kodiak Island communications station, spokeswoman Sara Francis said.
Francis said officials believe a third person was involved, but no suspect was in custody or identified as of Thursday night.
Capt. Jesse Moore, commanding officer of the base on Kodiak, said the shootings likely occurred sometime between 7 and 8 a.m., soon after the two victims arrived for work.
The captain said he was not aware of any threats or anything else that might have indicated problems at the station. The station is equipped with security cameras, but it was not yet known if they captured any evidence, Moore said.
Francis said the rest of the roughly 60 enlisted personnel and civilians who work at the station have been accounted for.
The FBI said agents flew to Kodiak from Anchorage, about 250 miles away.
After the shooting, security was increased at the base, about 8 miles from the island's largest city of Kodiak. Officials called on the city's 6,300 or so residents to remain calm and vigilant. Added security also was in place at an adjacent school.
The station listens for radio transmissions from mariners and aircraft, Petty Officer Charly Hengen said. The staff is responsible for relaying distress calls to other Coast Guard stations and offices.
The station has "secure front doors," Hengen said, and requires staff and visitors to show identification. Francis said visitors and those not actually working at the station are usually provided escorts.
The Coast Guard said the victims' identities would be released after family members were notified.
Moore said the base was "deeply saddened" by the loss of two shipmates.
"This is a tragic event and we are going to do everything we can to look after the families of victims, to take care of them and to protect the residents and citizens and other Coast Guard employees in Kodiak," Moore said.
Rear Adm. Thomas Ostebo, the commander of Coast Guard operations in Alaska, was in New London, Conn., for a conference at the Coast Guard Academy but left ahead of schedule. He could not be reached for comment, according to academy spokesman David Santos.
The shooting occurred almost 11 years after another fatal shooting involving the Coast Guard on another Alaska island, St. Paul Island, which is about 660 miles west of the city of Kodiak.
A man killed a Coast Guard officer whom he believed was having an affair with his estranged wife.
