One of the victims was a man who was shot in the chest and the second was a woman who was struck in the chest and abdomen, local news site Diario Sur reports.
Both people died at the scene outside Monaghans bar in the city of Fuengirola in the Malaga region on Saturday night, the news service adds.
Local authorities were quoted as saying that both victims were Scottish nationals.
A third person was also injured in the shooting which took place on the Rey de Espana seafront promenade in the city, La Opinion de Malaga reports.
Hooded men had reportedly arrived in a car before one of them got out and opened fire.
More than a dozen people are reported to have witnessed the shooting before the emergency services were alerted at around 11.28pm local time (10.28pm UK time).
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Malaga politician Francisco Javier Salas said the gunman “escaped from the scene” and is being hunted by police.
No arrests have been reported so far.
The attack is one of several shootings to have taken place in the Costa del Sol region this year, according to reports in Spain.
In relation to Saturday night’s shooting, the UK Foreign Office told Sky News it had not been approached for consular assistance in the case.
