Police said officers were called to Mount Pleasant Drive, near Fountain Green Drive, shortly before 11 p.m. after a body was discovered on the road.
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When first responders arrived, they found two victims lying next to each other in a gully on the side of the road.
The victims have been identified as Thurston Cooper, 49, and Krystina Chambers, 38.
Police said Cooper was shot in the head and Chambers was shot in the head and chest. Both were pronounced dead at the scene.
Krystina Chambers's family says they spoke to her just hours before she was murdered Thursday night, adding that they don't know the man who was found alongside her.
"My heart, it's broken, and it probably will be broken forever," said the victim's mother Terri Chambers. "She was a beautiful person. She was very good. She loved people. She worked as a dental assistant."
The disturbing scene was just half a block away from Mount Pleasant Mansion, a historic site once owned by Benedict Arnold, which was closed to the public last year.
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"It's awful. How could you do that to somebody? It's just out of control. Nobody should have to die like that," said Terri Chambers.
Police also found three spent shell casings just feet away from the victims.
"At this point, it appears they were both shot [and] killed execution-style, not only because they're lying next to each other. They both have gunshot wounds to the head, the female appears to be shot in the head and chest and the spent shell casings -- the three of them -- are all just a few feet away," said Chief Inspector Scott Small, with the Philadelphia Police Department. "So, we know at least three shots were fired from a semiautomatic handgun or handguns."
Homicide detectives and the crime scene unit could be seen overnight at the scene, gathering evidence.
Police are checking mansion surveillance cameras, but there is no word on a suspect or motive at this time.
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Krystina Chambers was a mother to four children aged 12, 13, 14 and 17.
"She cared about us a lot and she tried to do everything for us, and tried to make a way for us to have a good life," said Krystina's son Taye Evans.
Family members say they are grateful they spoke to her hours before she was killed, leaving her with a final message.
"I said, 'Hi and I love you.' And she said, 'I love you' back and that was the last time I heard from her," recalled Taye Evans.
Anyone with information is asked to call police at 215-686-3334. There is a $40,000 information leading to an arrest and conviction in this case.