D. Mike Dunavant, a district attorney in Henning, told United Press International the victims were Judy Spray and Paula Robinson.
Dunavant said the employees died in an apparent robbery attempt about 9 a.m. local time at a post office in Henning.
Very little information was released by the district attorney, who said authorities were "looking for person or persons unknown at this time."
Henning is about 50 miles northeast of Memphis in western Tennessee and was home to the author of "Roots," Alex Haley.
Man behind Doritos Locos Tacos passed away on Thanksgiving
Kate Moss Playboy shoot is classic Playboy, classic Kate