NSW police were called to a property in Quakers Hill, in Sydney's northwest, just before 5am on Sunday following reports of a disturbance.
Officers arrived to find a man in his 30s laying on the footpath with stab wounds to his stomach and hand.
He was treated by paramedics and rushed to Liverpool Hospital in a critical condition but succumbed to his injuries hours later.
A woman, also in her 30s, was found dead in the home's kitchen after suffering multiple stab wounds.
No one else was home at the time.
A neighbour said he heard some crashes coming from the vicinity of the home before he heard a woman scream four times.
"Just a wordless scream of fear ... then two or three different dogs were barking all at once, and then it all just suddenly stopped at the same time," he told news crews at the scene.
He said it was "pure silence" until police arrived about 20 minutes later.
A 47-year-old man was taken into custody after attending Blacktown Police Station.Â
Police recovered a knife at a service station in Woodcroft, about eight kilometres from the crime scene, after the man's arrest.
The victims were believed to have been in a relationship, Superintendent Jason Joyce said.
"We're not sure what type of relationship or the duration of that relationship," he told reporters on Sunday.
"The male that's in custody was previously in a relationship with the female."
Supt Joyce said the incident appeared to be domestic violence-related, based on early inquiries.
The man who handed himself in is known to police and is cooperating with their inquiries. He has not yet been charged.
"Obviously this is a very traumatic incident, traumatic for my police. My condolences go out to the families of the deceased involved," Supt Joyce said.
Multiple crime scenes have been established, including at the home where the couple were killed, the service station where the knife was recovered, the arrested man's Blacktown home, and at the hospital.
Strike Force Acoma detectives are investigating the circumstances surrounding the incident and are continuing to canvass the street for CCTV footage between 4.30am to 5.30am.
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