Emergency services were called to a 14-metre yacht moored at Tunks Park, Cammeray, at about 9pm.
Police found the bodies of a man and a woman, believed to be aged in their 50s or 60s.
Help from Fire and Rescue was sought over fumes detected onboard the yacht.
A number of items were taken for forensic examination.
The man and woman, who have not been identified, were spending Monday night on the boat, police were told.
Concerns were raised when the couple did not return.
A report will be prepared for the coroner.
Anybody with information is urged to contact Crime Stoppers on 1800 333 000.
