Gay, who tied a career high with 41 points on Tuesday night, was injured midway through the first quarter and limped off the court and to the locker room. Cousins was injured on a hard foul by Patrick Beverley that drew a technical in the second quarter.
Both players missed the rest of the game and Sacramento lost 119-98.
Kings coach Mike Malone didn't have more information on the injuries after the game and said that they'd know more on Thursday.
"It was a big loss to lose both of those guys in the first half," he said.
Gay, who had four points before he was hurt, entered the game averaging 20.2 points and 6.2 rebounds a game this season. He has started all 21 games since he was traded from Toronto on Dec. 9.
Cousins entered the game averaging 23.1 points and 11.7 rebounds.