The snow slide occurred about 10 a.m. in the Bonnington mountain range near Blewett, the Canadian Broadcasting Corp. reported. The man died at the scene and the woman died later at a hospital.
A third skier suffered minor injuries. Their names had not been released.
Cpl. Dan Moskaluk of the Royal Canadian Mounted Police said the two victims were among a group of five skiers, the Calgary Sun reported. He said the group's guide and one other skier dug out of the snow and then helped get three others out.
Other groups of skiers in the immediate area also helped dig out the victims, the newspaper said.
The deaths were the ninth and 10th avalanche-related fatalities in the province this season.