According to Daily Sun SA, the officer, who is stationed at Milnerton police station, then turned the gun on himself, but he survived.
"He was transported to hospital for medical treatment," said police spokesperson Captain FC Van Wyk.
Circumstances surrounding the shooting that occurred at about 03:00 are under investigation, Van Wyk said.
"A double murder case was registered for investigation," he said.
Van Wyk said IPID would provide further information to the matter.
IPID spokesperson Moses Dlamini said he was not aware of it.
"I'll check, please get back to me after an hour," he said.