The gruesome discovery was made at a house on Shipman Avenue, and detectives are trying to piece together what happened.
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The victims have not been identified but are a 70-year-old mother and her 38-year-old daughter.
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Police say they both suffered knife trauma and could have been dead in the home for several days.
The daughter was last seen on Friday, which prompted the call for the wellness check.
Responding officers found the bodies and a broken back window.
It is unclear if that's how the perpetrator gained entry, but police believe that this was an isolated incident and that the victims knew their killer.
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"We want to make sure that the public understands that they can rest easy that there's not someone out here doing this kind of thing on a random basis," Yonkers Police Commissioner John Mueller said. "We think that the perpetrator knew the victims."
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Authorities say there was also a hoarding condition inside the home, and bags of trash and other debris completely circle the outside -- hampering the investigation.
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Neighbors told Eyewitness News they have long complained about the house.
Police believe they have an idea of the suspect's identity, but anyone with information is urged to contact authorities.
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