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Officers were called at around 2.45pm after a member of the public expressed concern about those inside a property on Wessex Road.
Police discovered the body of one woman and another woman seriously injured.
The second female was treated by paramedics but died shortly afterwards.
A man in his 30s was arrested on suspicion of murder and is currently in police custody.
Police remain at the scene, with cordons around Manor Road, Kelsey Road, and Wessex Road.
DCI Darren Hannant from Wiltshire Police, attempted to calm fears among the local community because of the large police presence in the area.
He said: “Naturally people will be alarmed due to the large police presence in the area as we carry out our enquiries.
“I would like to reiterate that we have made an arrest and there is no risk posed to the wider community.”
“The local community are likely to see a significant police presence in this area for a number of days.
“Our thoughts are with the family and friends of the two victims.
“We would like to thank the local community in advance for their understanding and patience while we carry out our enquiries.”
THIS IS A BREAKING STORY. MORE TO FOLLOW….
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