WDBJ7 TV reporter Alison Parker, 24, and cameraman Adam Ward, 27, were killed during an interview in Moneta, Bedford County, the TV station said.
During the live broadcast, shots could be heard, sending the reporter and the woman she was interviewing running.
Police say they are investigating the incident and still searching for the suspect.
The station said the woman who was being interviewed had survived the attack.
“Alison and Adam died this morning at 06:45 shortly after the shots rang out. We do not know the motive or who the suspect or the killer is,” the station’s general manager, Jeffrey Marks, announced on air.
“I cannot tell you how much they were loved by the WDBJ7 team… our hearts are broken,” he said.
The attack took place at a large shopping centre, Bridgewater Plaza, near Smith Mountain Lake.
Ms Parker was starting an interview about tourism at the shopping centre when suddenly eight shots rang out, the camera spun and dropped to the ground, and her screams could be heard.
The footage captures what appears to be a fleeting image of the gunman, who is wearing black trousers and a blue top – and apparently holding a handgun.