A man has been arrested in connection with shootings in NSW and Victoria yesterday afternoon in which a man and a woman died.

Police at the scene in Red Cliffs this afternoon. (9NEWS)

Emergency services were called to a suspected domestic violence-related shooting at a home on Rufus River Road, west of Wentworth, in NSW about 3pm.

They found a man who had been shot dead, while a 58-year-old man was found with a gunshot wound.

(9NEWS)

The wounded man has been taken to a Victorian hospital under police guard, and is in a critical condition.

Detectives believe the men are known to an 82-year-old woman who was shot dead at Red Cliffs, near Mildura, an hour earlier.

The woman was found dead at a Snowy Avenue property at 12.30pm.

The woman's death is being treated as suspicious. (9NEWS)

Victoria Police are now working with Barrier Police District on investigations into both incidents.

Charges are yet to be laid.