RCMP say the man, who was in his 80s, tripped and fell on the tracks at a major railway crossing in downtown Wetaskiwin.
Insp. Scott Tod said the woman, who was in her 70s, was pushing an empty wheelchair ahead of him.
She went back to help as the Canadian Pacific Railway train approached.
The bells and lights were working at the crossing, Tod said, and the train repeatedly blew its horn.
The man and the woman were both hit and died at the scene.
Carla Werner manages a paint store near the crossing. She and her colleagues were on a break in the back when they heard the train.
"It had a short honk and then a more urgent honk and then it was just laying on the horn," she said, noting the train doesn't usually blow its horn at that crossing.
"We kind of all looked at each other and said, 'That is a bad horn' and we all bolted out to the front."
The train had already gone through the intersection by the time Werner and her co-workers reached the front and blocked their view, she said. But they could hear the brakes screeching and it slowed quickly.
Emergency crews were on the scene quickly, Werner said.
Tod did not know if the man and woman were related. He would not identify them, but did say they were both from Wetaskiwin.
Niran Nachaba, who works at gas station near the tracks, said he knew both people and that they walked that route almost every day.
He said the woman was hearing impaired, but Tod couldn't confirm that.
Kevin Hrysak, a Canadian Pacific spokesman, offered condolences to the family and relatives of the people who died.
The crew of the train were relieved of duty for the day and were being offered counselling.
"Our crew did sound their whistle and put the train into an emergency brake application, but unfortunately it did make contact with the individuals," he said from Calgary.
Wetaskiwin Mayor Bill Elliot said the safety of trains running through the city has not been an issue.
He said trains have been rolling through the city of 13,000 for years. He said railway crossings are clearly marked and well maintained.
Elliot said the accident has shaken people up.
"It is an unfortunate and tragic incident and it affects all of us," he said. "Our thoughts and prayers go out to the family and friends of these people."
The fatal collision in Wetaskiwin wasn't the only accident at a railroad crossing involving a CP freight train on the Prairies Thursday.
Two men from Estevan, Sask., were injured, including one seriously, after a train hit a truck just outside of Midale, Sask., at an uncontrolled intersection.
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