Officers appealing for witnesses.
The force was called at 10.18pm to a report of a two-car collision on the A47 Normandy Way in Hinckley, close to the crossroads with Ashby Road and the B4667.
Leicestershire Fire and Rescue Service and East Midlands Ambulance Service were also in attendance.
A light grey Audi S4, travelling east bound, towards the Barwell roundabout, was in collision with a red Ford Fiesta, which was travelling in the opposite direction.
The driver of a red Ford Fiesta, a 23-year-old woman, was pronounced dead at the scene.
The passenger in the Audi, a 31-year-old man, was also produced dead at the scene. A 29-year-old man, the driver of the Audi was taken to University Hospital Coventry and Walsgrave with life-threatening injuries. He remains there in a critical condition.
The Audi involved in the collision is believed to have been in convoy with another Audi, a black S3, in the minutes leading up to the collision. The Audi S3 was not involved in the collision and no one in this car was injured.
The driver of the S3, a 25-year-old man from Leicester, was arrested on suspicion of causing death by dangerous driving. He has since been released under investigation.
The A47 was closed in both directions overnight, but re-opened at 8.30am on Saturday.
DS Ed Des-Chanelle from the forces' Serious Collision Investigation Team is leading the investigation. He said: "I am very keen to hear from anyone who was driving the the area of the A47 last night and can offer any information about the manner in which all of these cars were driving.
"Any information my help our investigation into this collision, which took the life of two people.
"Anyone with dash cam footage - we need to see it. Please contact us."
Call 101 with information, quoting incident number 710 of 18 October. Alternatively, submit information online: Making a road traffic incident report | Leicestershire Police