The Independent Police Investigative Directorate (IPID) is investigating the deaths of two people in Mothotlung, near Brits, on Monday, a spokesperson said.
"Two other people were injured and are currently in hospital," Moses Dlamini said.
North West police said two protesters were shot dead and two wounded during a service delivery protest. Police were called to monitor protesters after they barricaded a road with burning tyres, Colonel Sabata Mokgobone said.
Residents started protesting on Sunday afternoon about a water shortage. Dlamini said there was allegedly an altercation between protesters and police officers.
"The exact circumstances are being investigated. A murder docket has been opened."
A postmortem examination of the two bodies would be conducted on Tuesday.
Video of the incident
Leon Basson, a Democratic Alliance (DA) councillor in the Madibeng municipality, told the Mail & Guardian ?on Monday that the protest involved members from Brits and Mothotlung communities.
He said the communities were connected by the same broken water pipe and had been without water for a week. They were en route to the municipal offices when "something went wrong … and the police opened fire".
The municipality's purification pump and standby pump were both broken, he said.
Basson arrived at the scene after the shooting. While he did not witness the protest, he said he was informed that a video of the incident was available, and more information would be made available at a community meeting scheduled for Monday night.
He was told that two people were killed, allegedly by the police, while three others were injured. By Monday afternoon the protesters had dispersed while the situation in Mothotlung remained "tense", said Basson.
'Violence can never be condoned'
Also on Monday, the DA in the North West expressed its shock at the death of the protesters.
"Violence can never be condoned at a protest action, by either side," North West DA leader Chris Hattingh said in a statement on Monday.
Hattingh said the party was outraged at the incident. – Sapa, Sarah Evans