The victims, identified as 24-year-old Shanae Howard and 26-year-old Brandon Brown, were discovered lying on the ground in Canterbury Park in Montclair, near a bench, just before 10:30 p.m.
Police say Howard was partially clothed and lying face up. Brown was face down. A gun was found at the scene.
Howard's distraught relatives arrived at the crime scene and described her as a churchgoing woman from East Orange.
No one is certain why they came to the very remote park, which sits on a cul-de-sac in a quaint neighborhood, at such a late hour.
Officials say the shooting appears to be isolated and doesn't pose a threat to the community. However, they have not termed it a murder-suicide. Police say that last year, Brown had claimed to be a victim of a robbery that ended in him being shot. But the investigation apparently revealed that the gunshot wound was self-inflicted.
Police taped off the park and lit up the scene with flood lights as they worked through the overnight hours. The investigation is ongoing.
