Two people were killed and one wounded as a gunman opened fire at two locations in a southern Swiss town on Monday and then fled, police said.

Authorities say one suspect has been arrested.

Authorities were alerted to a wounded person in a parking lot in Sion, the capital of Valais canton, at 7.15am, police said in a statement.

They found a woman with a fatal gunshot wound. A man was shot dead a few minutes later and a woman was wounded.

Police launched a manhunt and issued an appeal for people to come forward with any information on a 36-year-old believed to be the gunman.

They warned that the suspect, who could be on the run in his locally registered cabriolet, may be armed and dangerous and that people should not approach him.

The man was eventually caught by police in the St Leon region, according to a police statement.

They said that he appears to have known his victims, but did not give further details. They did not say what motive he might have had.

Local prosecutors opened a murder investigation.