A 28-year-old man, described as someone who knew the boys, was being questioned, the Milwaukee Journal Sentinel reported. Police described him as a person of interest and said he was not the boys' father.
One boy was 3 and the other 4.
Investigators said the deaths were being investigated as homicides, the Wisconsin State Journal reported.
"They are suspicious, and this is being treated as a double homicide," Joel DeSpain, a city police spokesman, said.