Police declined to comment on a motive for Thursday's killings or the family feud.
Shigenaga Tomioka, 56, attacked Nagako Tomioka, 58, chief priestess of the Tomioka Hachimangu shrine, as she got out of a car. Media reports said she was his sister.
His 49-year-old wife, Mariko, stabbed and wounded the driver of the car with a sword, police said, before she too was killed.
Shigenaga sent a threatening letter to his sister in 2006, saying he would "send her to hell", the Sankei newspaper said.
Shinto is the traditional religion of Japan and many shrines dot the country. The Tomioka Hachimangu shrine, established in 1627, has a close link with sumo and the emperor and empress visited in 2012.