A man, believed to be the woman's partner, was airlifted to Dunedin Hospital in a critical condition and was undergoing surgery last night, the officer in charge, Detective Sergeant Derek Shaw, of Alexandra, said.
"We're still investigating exactly what happened and details are still unclear. We're in the initial stages of investigating a serious incident, and we're treating it as homicide."
The incident happened in and around a Smith St house, and a firearm was recovered nearby, he said.
A police cordon still blocked access to part of Smith St last night. The street intersects Scotland St, the town's main street, and the home was only a short distance away from the town's park and playground.
"However, we can assure the Roxburgh community they are safe. The armed offenders squad was deployed to the scene and has checked the area was safe."
Police were "keeping an open mind" on whether anyone else was involved in the incident, he said.
In a press release last night, Sergeant Dave Scott, of Dunedin, said the woman who died at the scene was aged 60 and the injured man was 66.
Det Sgt Shaw said he believed the two people were in a relationship.
An off-duty Roxburgh police officer had been called to the house at 4.50pm and a local doctor and ambulance were already there.
Police had spoken to several people who witnessed the incident and there were between 20 and 30 people to interview, including the emergency staff first on the scene. They wanted to hear from any other members of the public who witnessed an incident in the street between 4pm and 5pm yesterday.
Environmental Science and Research staff from Auckland and Christchurch would be at the scene today, as part of the forensic examination, Det Sgt Shaw said.
A woman staying in her holiday house around the corner from the property told the Otago Daily Times she was outside at the time and heard "heaps of screaming and then a really loud gunshot, followed seconds later by another one, then it went quiet."
The woman, who wanted only to be known as "Jane", said she had reported what she thought were gunshots to the police before.
However, they had turned out to be a car backfiring and she was reluctant to contact the police this time.
"I didn't worry too much about it initially and then I was out the back of my place and saw the police tape go up and police everywhere, the ones behind our house carrying big rifles. Then I realised it was something bad this time."
Her property backed on to Smith St. Another resident, who also lived near the property, said it was "all too close to home".
The elderly woman, who declined to be named, said she was at home at the time but did not hear any gunshots.
"The first I knew of it was when I heard the helicopter coming in and then all the traffic was going slowly past and I came out to see what was happening."
She knew the couple involved "just to say hello to. I'd wave to them if I was outside and saw them."
They were nice people and were long-time residents of the town, she said.
