Officers were called just after 10:10pm yesterday, Saturday 7 August, to a property on New Cheveley Road in the town.
An ambulance attended the scene, but a woman, aged in her 30s, was sadly pronounced deceased a short time later.
A cordon remains in place while an investigation into the circumstances continues.
Next of kin have been informed.
Early enquiries lead detectives to believe that this was an isolated incident and there is no wider threat to the local community.
Shortly after the incident, police arrested two men, aged 57 years and 50 years, on suspicion of murder. Both men are from Newmarket and remain in police custody for questioning by detectives.
Any witnesses, or anyone with information about this incident, is asked to contact the joint Major Investigation Team, quoting 37/43271/21.