Police used stun grenades when they stormed a first-floor flat in Leasowes Drive, Merry Hill on Wednesday.
Armed officers were outside the Highfield Court block of flats on Wednesday morning as residents watched, with three air ambulances on a field in nearby East Green.
A West Midlands Police spokesman confirmed the incident was domestic-related and said no guns were involved.
One of the women, thought to be in her thirties, died at the scene.
A white male suspect was also pronounced dead a short time later.
One woman has died due to injuries sustained from a stabbing in a block of apartments in Wolverhampton during what police say was a domestic disturbance.
Wolverhampton Police Superintendent Keith Fraser, said: "Our officers knew there was an armed man behind the front door of that flat; they acted swiftly and with huge courage to quickly gain entry and later detain the man".
Another woman has been taken to hospital with critical stomach wounds.
Whilst a police officer was treated with minor injuries and later released.
According to the BBC, West Midlands Ambulance Service said it was dealing with a "serious incident" in Penn and was treating "a number of patients".
"Another woman was taken on blue lights to the major trauma centre at the Queen Elizabeth hospital Birmingham with potentially life-threatening stab wounds".