It came as Afghanistan undertakes a massive audit of its recently concluded presidential vote to avert an impasse threatening to plunge the country into an ethnic conflict as foreign troops prepare to depart after more than a decade of war.
No group has yet claimed responsiblity for the killings in Herat city, but the Christian medical charity the women worked for was targeted by the Taliban four years ago in an attack that killed eight foreigners. The militants claimed at the time the medics were "missionaries".
Sayed Fazullah Wahidy, governor of Herat province, told AFP: "This morning at around 11:30am gunmen on a motorcycle opened fire at two foreigners riding in a taxi and killed them."
Interior ministry spokesman Sediq Sediqqi confirmed the attack and said the perpetrators had escaped.
"One person was detained at the scene but the two gunmen escaped and the police are searching the area," he said.
The International Assistance Mission, a Christian medical charity said the victims were Finnish expatriate employees.
"With deep sadness we confirm that today... two Finnish expatriate female staff members of IAM have been killed in Herat," said a statement signed by the group's acting executive director Heini Makila.
"We are in the process of informing the relatives and therefore cannot confirm any other details. Our prayers are with their relatives, friends, Afghan and international colleagues," it added.
The Finnish foreign ministry also confirmed the women's nationality.
In April, a police commander killed an Associated Press photographer and badly injured a journalist as they covered election preparations in the eastern province of Khost.
Later the same month a police officer shot dead three Americans including a doctor at the CURE International hospital in Kabul.
Aid workers, particularly those working for Christian non-government organisations, have also come under fire since the US-led invasion to oust the Taliban in 2001.
Last month, an Indian aid worker for a Christian charity was abducted in the same province.
In August 2010, the Taliban claimed responsibility for killing a group of eight IAM medics -- six Americans, a German and a Briton in a remote Afghan forest, claiming they were "Christian missionaries".
And in October 2008, a British aid worker was gunned down in Kabul as she walked to work at SERVE Afghanistan, a British-based Christian charity that helps disabled people.
Thursday's shootings came hours after a suicide bomber detonated his explosive-packed motorcycle in northern Takhar province, killing six civilians and wounding more than 20 in a crowded market as shoppers bought supplies for the upcoming Islamic festival of Eid-ul-Fitr.
Afghanistan is on edge as the election dispute between poll rivals Ashraf Ghani and Abdullah Abdullah threatens to trigger instability and revive ethnic tensions that ravaged the country during the 1992-1996 civil war.
NATO combat troops will withdraw from Afghanistan by December, and reports suggest unrest is already worsening nationwide.
According to recent UN figures, civilian casualties soared by 24 per cent in the first half of 2014, while the International Crisis Group has said the "overall trend is one of escalating violence and insurgent attacks".
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R.I.P.
This absolutely terrible and disgraceful.
Why kill innocent aid workers.
These savages have to be stopped.