Police have opened a preliminary investigation for murder and attempted murder.
One of the youths died at the scene of the incident, the Farsta shopping center, and the other after being taken to hospital.
The police added that two other people, aged 40 and 65, have been found with gunshot wounds in the vicinity of the shopping center, one of them in a church and the other outdoors in Larsbodavägen.
Police investigative work was continuing late in the afternoon in the Swedish capital, and it is unknown when it will be completed.
The nearby subway exit was closed to prevent a flight, police said.
The two people arrested are men and will be questioned. The car in which they were traveling was seized and will undergo a technical review.