A 34-year-old man and a 26-year-old woman were the fatal victims, Gary police said in release.
The other three wounded victims appear to have non-life-threatening injuries, police said.
The Metro Homicide Unit is investigating the incident, according to the release.
CNN and the GVA define a mass shooting as one with four victims or more, not including the shooter. The Gary incident was one of nine mass shootings this weekend, according to the GVA.
Gary is a city in Lake County, Indiana, about 25 miles from downtown Chicago.