The shooting took place shortly before 14:30 local time (13:30 GMT) on Lagerstrasse in the Europaallee area.
Zurich police said the situation was now under control and that there was no further danger to the public.
They said rescuers had found two gunshot victims at the scene. One of them was dead. The other was gravely wounded but died soon after.
Eyewitnesses had reported at least four or five shots being fired.
Images in the Swiss media showed two bodies lying close together on the pavement, with what appeared to be a pistol close to the hand of one of them.
The reasons behind the shooting are unclear and the identity of the victims is not yet known.
One report said a gunman had fired shots before turning the weapon on himself, but this has not been confirmed.
A large police presence remains at the scene but Zurich police said that no further information could yet be given.
However, Reuters quoted police sources as saying there was no indication that the shooting was linked to terrorism.
The area around the shooting remains closed off.
The BBC's Imogen Foulkes in Geneva says that although crime is relatively low in Switzerland, the easy availability of guns through serving in the Swiss army and on the open market makes the country one of the few in Europe where such a shooting is not that unusual.
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