The woman leaves behind two young children. It is thought she was killed as a result of a domestic dispute.
The man killed himself immediately after gunning down the woman at around 7pm in Laxenbergerstrasse.
Vienna's Heute news daily reported that a witness, Demet Demo, said "I suddenly heard shots and then saw the two people lying on the ground."
The two dead have been identified as Russian citizens from the Chechen Republic. According to initial findings from police, the man, Aslan I., shot the woman, Lucia K., twice at close range, then killed himself with a single shot. No other parties are believed to have been involved.
Police reports suggest that the two had been in a close relationship, and had children together, but were not living together the current time. The woman lived locally in Favoriten.
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It is thought that the relationship had serious problems, as the man had a restraining order imposed on him since at least a year.
The two Chechens are part of Europe's largest modern diaspora, with more than 42,000 former Chechens resettling in Austria since the conflict began in the breakaway Russian republic.