The two other daughters were critically injured, they said.
The incident took place yesterday in Badlapur area when Gita Devi, 38 jumped in front of a train with her daughters, Khushi, 14 and Khushbu, 5 and Kusum, 3, they said.
Gita and Khushi died on the spot.
The incident was believed to be a fallout of some family dispute, they said.
The police said it was probing the matter.