Spokesman Abie Khoabane said it took place on Friday evening and the victims were yet to be identified.
He told local newspapers that the couple ignored the driver's shouts as he moved the train into the disused station in Kinross town.
"They continued with their business," he told the Sowetan paper.
According to South Africa's Beeld newspaper, the area was deserted with no cars or houses nearby.
The man died at the scene and the woman died later at hospital, the Sowetan reports.
The police have appealed for those with missing relatives to come forward to help with their investigation.
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