Anita J. Grace, of Olive Branch, Ill., and Nita J. Smith, of Wickliffe, Ky., both 52, died from stabbing injuries during a robbery of First National Bank.
A 23-year-old woman, whose name wasn't reported, was taken the hospital in critical condition.
The alleged robber was caught by state police as he fled toward Missouri in one of the women's vehicles.
The man was allegedly armed with a handgun and ditched the vehicle on Interstate 57 before fleeing on foot.