Police were called shortly after 8am on Monday and discovered the bodies of a man and a woman inside the vehicle in Swanage.
A spokesperson for Dorset Police said it had been alerted by the fire service to reports that “two people had been found unresponsive in a car parked at Durlston Country Park”.
“Officers have attended the incident, along with the ambulance service,” the spokesperson said.
“The road leading to the country park has been closed and a cordon is in place.
“Very sadly the body of a man and a woman were found inside the vehicle.”
The circumstances of the deaths are not known but police are investigating.
Officers are working to identify the victims and inform their families.
People have been asked to avoid the area.