The teenagers, aged 13 and 14, were found seriously ill this morning at a home on Gregg House Road, in Shiregreen, and were taken to hospital where they later died.
Four other children, aged 11 years, 10 years, three years, and seven months old, were also taken to hospital, where they remain this afternoon.
A 37-year-old man and a 34-year-old woman have been arrested on suspicion of murder and remain in custody.
Superintendent Paul McCurry, of South Yorkshire Police, said this afternoon: “"Our detectives are supporting the family, who are aware of the circumstances. Our enquiries will continue to develop throughout the day.
"It's important I reassure the wider community that there's no wider risk.
"Two people have been arrested on suspicion of murder, and are in police custody."
Supt McCurry said post-mortems were due to be carried out later today but at this stage it was too early to comment on the nature of the incident.
Responding to speculation among people in the neighbourhood, he said: "I've asked for extra patrols in the neighbourhood just to reassure the community.
I'm aware of some of the rumours that are spreading in the community. This is an isolated incident and there's no cause for alarm for other members of the community.”
Emergency services were called to the house at 7.30am and multiple police cars and ambulances, along with an air ambulance attended.
The house where the children were found remained cordoned off this afternoon, and police say there will be extra patrols in the area over the weekend.