Police said the victims, a man and a woman, were experienced climbers. A third victim who was also caught in the avalanche escaped unharmed.
Emergency responders said the avalanche happened at an altitude of some 3,200 meters (10,500 feet) above Argentiere at around 1200 GMT.
French Interior Minister Bernard Cazeneuve released a statement urging "everyone to take the utmost precaution because of a high avalanche risk... in the coming hours".
It was the first fatal avalanche in the French Alps this winter.