A man in his 20s was found injured by police at a property in Jubilee Court, Banbury, at about 08:00 BST.
He was taken to Horton General Hospital but later died. His next of kin have been informed.
The woman, 26, and man, 22, both from Banbury, are being held in police custody.
Det Supt Chris Ward, from the Thames Valley Police major crime unit, said: "This is not believed to be a random incident.
"We are currently at the very early stages of this investigation and are in process of determining the exact circumstances which led to the victim's death."
A man and a woman have been arrested on suspicion of murder after a stabbing in an Oxfordshire town.