The disturbing scene was just half a block away from Mount Pleasant Mansion, a historic site once owned by Benedict Arnold, which was closed to the public last year.
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Police were called shortly before 11 p.m., after a body was discovered on the road.
When first responders arrived, they found two victims lying next to each other in a gully on the side of the road.
A 38-year-old woman was shot in the head and chest and a 48-year-old man was shot in the head. Both were pronounced dead at the scene.
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Police do have preliminary identifications on the victims and say the woman had a Philadelphia address.
Police also found three spent shell casings just feet away from the victims.
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"At this point, it appears they were both shot [and] killed execution-style, not only because they're lying next to each other. They both have gunshot wounds to the head, the female appears to be shot in the head and chest and the spent shell casings -- the three of them -- are all just a few feet away," said Chief Inspector Scott Small, with the Philadelphia Police Department. "So, we know at least three shots were fired from a semiautomatic handgun or handguns."
Homicide detectives and the crime scene unit could be seen overnight at the scene, gathering evidence.
Police are checking mansion surveillance cameras, but there is no word on a suspect or motive at this time.