The bodies of businessman Elie Issa and his girlfriend Nadia Cameron were found by a family member just before midday inside their home in the central-western NSW city.

A firearm was also found in the Rosemont Avenue residence.

Mr Issa was a widely respected Bathurst businessman and restaurateur, known for entertaining the likes of former governor-general Quentin Bryce and Australian rugby league star Brent Tate.

His partner, 52-year-old Nadia Cameron, moved out of an advertising job in Sydney to Bathurst two years ago to take up a position as a real estate agent. She has a teenage son who lives with her ex-partner in Avoca.

"We woke up to centimetres of snow and a shooting, you never expect that," said a neighbour who asked not to be named.

Ms Cameron's employer, Stacey Whittaker, said the tragedy was a huge loss for the community.

"Nadia wore her heart on her sleeve, she was the first to do someone a good turn."

"I've known Elie for years, you'd never go into the café without Elie popping a kiss on your cheek and on your children's cheek," she said.

Mr Issa's family contemplated the tragedy that had befallen them by maintaining a vigil on the locked-down suburban street as police carried out their investigations on Friday.

The affable 60-year-old businessman was in the midst of expanding his Bathurst diner, which has been an institution for the past decade as the go-to hang out spot for university students and local business people.

Six months ago he bought a crepe restaurant upstairs from his cafe which he had recently begun refurbishing.

It is understood Mr Issa has a son and a daughter from a previous marriage.

Before making the move to the country two years ago Ms Cameron worked in the Sydney CBD.

"Whatever you are thinking, think bigger," the former Malvina High School student wrote on her business profile.

"If you can dream it can happen, learn everything twice and be the best that you can."

Tragedy has struck twice for the Cameron family in recent weeks. Ms Cameron's father, Kelvin Pleming, was killed in a car accident in Sydney just last month.

Officers attached to the Chifley Local Area Command have set up a crime scene at the property.

With Jacinta Carroll