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 police said it was probing the matter.
Get the latest election news, live updates and election schedule for Lok Sabha Elections 2019 on ndtv.com/elections. Like us on Facebook or follow us on Twitter and Instagram for updates from each of the 543 parliamentary seats for the 2019 Indian general elections.