The women, a 68-year-old Briton and a 67-year-old New Zealander, were walking on foot in the South Luangwa national park when they were attacked by a female elephant with a calf on Thursday.
The safari group's guides tried to stop the elephant from attacking the women by shooting at the animal, according to local police.
The elephant is said to have been injured, but did not stop its attack. Both women died at the scene.
Female elephants are usually very protective of their calves and can respond aggressively to perceived threats.
Last year, two American tourists, also elderly women, were killed in separate incidents in different parts of Zambia.
