It happened inside a home on the 4600 block of Weymouth Street.
The body of Evelyse Rodriguez, 36, of the 6000 block of Tulip Street was found with multiple gunshot wounds to the body and face.
Police also discovered the body of Jose Rodriguez, 39, with a self-inflicted gunshot wound and a pistol next to the body in the basement.
Jose Rodriguez was an 11-year veteran of the police force assigned to the 19th district.
The officer and his estranged wife were pronounced dead on the scene at 11:34 a.m.
The couple leaves behind two children, ages 11 and 17.
Neighbors expressed shock when they heard the news.
"This is a surprise because yesterday I talked to him," said Walberto Pagan. "He's a good man."
Investigators say officers went to the home for a welfare check Monday morning after their daughter said her parents hadn't been heard from since Sunday.
During a news conference, Police Commissioner Richard Ross pointed to a recent spike in police officer suicides in New York City and pleaded with officers of his department to get counseling if needed.