One person was arrested, police said, but other suspects are believed to have fled the Paulus area in a vehicle.
One gunman was wearing military camouflage and carrying several weapons, witnesses say.
Reports suggest there was also an attack on a synagogue in Halle and a shooting in Landsberg, some 15km (9 miles) east of the city.
It was not immediately clear if the incidents were connected.
What do we know about the kebab shop attack?
A man was killed in a Turkish kebab shop, Halle police spokesman Ralf Karlstedt said. The second victim was identified as a woman but the place where she was killed has not been confirmed.
A suspect fled the scene in a car and was arrested by police outside Halle, Mr Karlstedt said, adding that officials were still investigating the identity of the person.
Residents were being warned to remain in their homes.
Earlier, a witness told German n-tv news that a gunman in camouflage had opened fire with an assault rifle on a Turkish kebab shop.
“The man came up to the doner shop, he threw something like a grenade, it didn’t explode, and he opened fire with an assault rifle… I hid in the toilet,” the witness told a TV reporter near the scene.
What is being reported about the synagogue incident?
Shots were also reported near a synagogue in Halle, according to German media, but details have not been confirmed.
A suspect tried to get into the building, Max Privorotzki, leader of the local Jewish community, told Der Spiegel magazine, saying between “70 and 80 people were in the synagogue”.
One witness said one attacker “dressed like a policeman… fully armed” had thrown a petrol bomb or grenade over a cemetery wall.
The violence came as Jews celebrated Yom Kippur, Judaism’s holiest day.