Phoenix police identified the two as 15-year-old Matthew Bolton and 16-year-old Anastasia "Ana" Greer.
Both were sophomores at Sandra Day O'Connor High School in Phoenix, and Greer had recently ended their relationship, investigators said.
The shooting occurred around noon Friday at a home of Greer's friend, police said.
Investigators said Bolton got a ride to the home and met the girl in front of the house.
A neighbor, Jim Friel, told The Arizona Republic ( http://bit.ly/MVgruJ) that he heard a scream and then gunshots and went across the street to the home to see what happened.
Friel said the girl had gunshot wounds to her chest and the boy a gunshot wound to his face.
Police responded to a 911 call and found both teens dead outside the home.
"It appears he shot her in the front yard and then he turned the gun on himself," said Sgt. Tommy Thompson, a Phoenix police spokesman.
Police say Bolton didn't go to school Friday and it was unclear how he got the gun, which was found on a sidewalk near the bodies.