Mobile phone footage showed a man opening fire in the middle of the street with a semi-automatic rifle.
“I just killed somebody,” he could be heard saying at one point on Tuesday night.
Sheriff David Beth said investigators had reviewed footage and that he was confident a suspect would be arrested soon.
The gunfire erupted just before midnight, during the third straight night of unrest in Kenosha over the police shooting of a black man, Jacob Blake.
One victim was shot in the head and the other in the chest, the sheriff told the Milwaukee Journal Sentinel. A third person suffered gunshot wounds not believed to be life-threatening.
According to witness accounts and video footage, police apparently let the young man responsible for the shootings walk past them with a rifle over his shoulder as members of the crowd were yelling for him to be arrested because he had shot people.
The sheriff told the Journal Sentinel that armed people had been patrolling the city’s streets in recent nights, but he did not know if the gunman was among them.
Mr Beth said: “They’re a militia. They’re like a vigilante group.”
The FBI said it is assisting in the case.
Wisconsin Lieutenant Governor Mandela Barnes, who is black, said in an interview with the US news programme Democracy Now! that the shootings were not surprising and that white militias have been ignored for too long.
Mr Barnes said: “How many times across this country do you see armed gunmen, protesting, walking into state capitals, and everybody just thinks it’s OK? People treat that like it’s some kind of normal activity that people are walking around with assault rifles.”
In one mobile phone video of the night’s events, shots can be heard and the young man with a rifle is on the phone and appears to say “I just killed somebody” before he runs away. People are then shown tending to a white man who appears to have been shot in the head.
In another video posted online, the same young man with a rifle is jogging down the middle of a street as a crowd and some police officers follow him. Someone in the crowd can be heard asking “what did he do?” and another person responds that the man had shot someone.
The man with the gun stumbles and falls, and as he is approached by people in the crowd, he fires three or four shots from a seated position, hitting at least two people, including one who falls over and another who stumbles away to cries of “Medic! Medic!”.
A witness, Julio Rosas, 24, said that when the gunman stumbled, “two people jumped onto him and there was a struggle for control of his rifle. At that point during the struggle, he just began to fire multiple rounds and that dispersed people near him”.
“The rifle was being jerked around in all directions while it was being fired,” Mr Rosas said.
