A gun and a suicide note were found near their bodies, under a covered patio by the cafeteria, police said in the statement.
"Although the investigation is not complete, investigators working the case say evidence found at the scene leads them to believe that one female took the life of the other female before taking her own life," police said.
"Information gathered by detectives reveal the two girls were very close friends, appearing to also be in a relationship," police added.
Detectives "do not believe there are any outstanding suspects" and though the shooting was likely overheard by other students that morning, there don't appear to be any witnesses, police said.
Police declined to release the names of the deceased, citing their status as minors. But the older sister of one of the girls confirmed her death to the Arizona Republic – and disputed that the girls were a couple.
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Phuong Kieu, a science teacher at Independence High School, the scene of the shooting, said her younger sister May was one of the two killed, according to the Republic.
She said there was no gun in May's home, according to the paper.
Phoung has started a GoFundMe to help with May's funeral costs. As of this writing, it has raised more than $8,500 out of a $10,000 goal.
Phuong described her sister as a "well-loved" honors student, according to the Republic.
May was also an actress, and was appearing as Marcie in the school's production of You're a Good Man, Charlie Brown, according to the paper.
She would have turned 16 in May, Phuong said.
Matt York / AP
He said the school would provide a team of social workers for support through the tragedy.
The girls would often hang out in the mornings at school, student J.C. Robertson told the Republic.
They "were known by many on campus as a couple" and had been dating for more than two years, according to the Republic, citing their friends and social media accounts.
Matt York / AP
"I walked home crying my eyes out," Robertson said.
Robertson actually saw May Friday morning at school, according to the paper, and said that she looked "extremely happy."
"I asked her how her morning was and she said, 'It's going good.' "