Charles Mncayi from Mayfield in Daveyton, on the East Rand, has been left distraught after his childhood friend allegedly bludgeoned Mncayi's pregnant girlfriend and her cousin.

Moloko Mosena, 26, who was pregnant and her cousin Nthabiseng "Nthabi" Mosena, 24, were found dead on Thursday at a shack owned by Mncayi.

They were allegedly killed by Nthabiseng's boyfriend Moses Mahlangu, whom Mncayi said they had been best friends since high school.

"I never thought he was capable of killing and I'm shocked because he killed his girlfriend and mine just over an argument he had with Nthabiseng last week," said Mncayi.

He said Mahlangu and Nthabiseng had a disagreement a week ago after Mahlangu went to her and Moloko's house looking for her and found out she had gone out with friends.

"I remember him telling me that he was angry because he suspected that Nthabi was cheating on him, so he waited for the chance to confront her since they lived apart," Mncayi said.

He said he left home on Tuesday for a few days to work where he is employed with Mahlangu on a contract basis.

"I was with Moses on Sunday, we went to play football together. Everything was fine. I don't how he gathered the strength to kill my girlfriend even after I told him how excited I was to be a father," he said.

Mncayi said Mahlangu confessed to his sister to killing the two women and later sent him a text.

"He fled to Free State upon learning that police were looking for him. I know that he has another girlfriend in Free State, so I gave that information to the police after he confirmed to me that he had indeed killed Moloko and Nthabi," Mncayi said.

He added that after he returned home, he found neighbour's gathering at his home with police.

"Moloko and Nthabi's butchered bodies were found with several deep stab wounds, with blood splattered everywhere in the shack, curtains and beds," he said.

Mncayi said when he asked Mahlangu why he killed them, he said Moloko was interfering in his business with Nthabiseng.

The families of the deceased said they were devastated by the sudden deaths of their loved ones.

Guardian Melita Shamu said they only found out about the murders on Thursday after the two had gone missing for over two days.

"I got worried when they did not return because they normally report whenever they visit friends. We knew Moloko's boyfriend because he had been properly introduced to us, but she came back home almost every second day to visit us when his boyfriend is away for work commitment.

Const Raider Ubisi said police were investigating a double murder case.

The suspect has been arrested and appeared in the Daveyton magistrate's court.