Curry's 3-year-old son was found unharmed at the scene. Curry is a former player for the Chicago Bulls.
No one had been charged as of Sunday afternoon, and results of autopsies were not yet available.
Curry's attorney, Kelly Saindon, said the basketball player's family was devastated by the news.
The Knicks issued a statement Sunday on Curry's behalf asking the media to respect the privacy of the two families.
"The Curry family is deeply saddened by this tragic loss and will keep the Henry family in their prayers," the statement said.
Police believe the killings near the city's South Side were the result of a domestic dispute, Bond said. She would not elaborate.
Rob Bryant, who said he was Nova Henry's uncle, told the Chicago Sun-Times that Henry had a restraining order against her boyfriend.
The city recently has seen several high-profile deaths blamed on domestic violence. A brother-in-law of Oscar-winning actress Jennifer Hudson pleaded not guilty Tuesday to charges he fatally shot Hudson's mother, brother and nephew. Prosecutors allege William Balfour killed them in October 2008 because he was upset the actress's sister had been dating another man.
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