Members of the Elgin County detachment were called to the main beach of Port Burwell, about 60 kilometres southeast of London, because three youths were "in crisis" in the water.
Police, firefighters and paramedics all responded to the scene. One youth was rescued and conscious, but a seven-year-old boy and a 10-year-old girl were unconscious and taken to Victoria Hospital in London by air ambulance.
The brother and sister, from nearby Glen Meyer, were later pronounced dead. Their names are being withheld until next of kin are notified, police said.
The investigation continues.