Co-workers made the discovery after becoming concerned when the man did not show up for work all week.
Investigators say there were signs of a struggle inside the house. They believe the man killed his girlfriend, then turned the gun on himself.
"This is very unusual," says Detective Keith Daye. "We haven't had anything associated with murder here in the city for approximately four years. Of course, this is a good neighborhood, we just don't have this type of activity over here."
Police say the bodies may have been in the home since Wednesday. The names of the victims have not yet been released.