A relative found the bodies of Nova Henry, 24, and her 9-month-old daughter, Ava, in their apartment near the South Side on Saturday evening, Chicago police spokeswoman Monique Bond said. Both died from multiple gunshot wounds, the Cook County medical examiner's office said Sunday.
Curry's 3-year-old son was found unharmed at the scene. Curry is a former player for the Chicago Bulls.
Chicago police offered few details of the investigation at a news conference Sunday.
Deputy Superintendent Steve Peterson said police want to talk to someone who was "the object of an order of protection" but that person has not been located yet.
He declined to give further information.
Rob Bryant, who said he was Nova Henry's uncle, told the Chicago Sun-Times that Henry had a restraining order against her boyfriend. "She was trying to avoid all this," Bryant said.
A Knicks source close to Curry told the New York Daily News that Curry was "distraught" by the news. Curry cried after learning of the murders following New York's loss to Philadelphia on Saturday, according to the newspaper.
Curry's attorney, Kelly Saindon, said the basketball player's family was also devastated.
The Knicks issued a statement Sunday on Curry's behalf asking the media to respect the privacy of the two families.
"The Curry family is deeply saddened by this tragic loss and will keep the Henry family in their prayers," the statement said.
The city recently has seen several high-profile deaths blamed on domestic violence. A brother-in-law of Oscar-winning actress Jennifer Hudson pleaded not guilty Tuesday to charges he fatally shot Hudson's mother, brother and nephew. Prosecutors allege William Balfour killed them in October because he was upset the actress's sister had been dating another man.
Curry and his wife, Patricia, also had a scare there. The couple were bound and robbed at gunpoint in their suburban Chicago home in 2007.
Information from The Associated Press contributed to this report.