It was not immediately known who the victims were, or if the attack was politically motivated.
The shooting comes just weeks after the indictment of six Golden Dawn lawmakers for their involvement in a "criminal organisation" as part of a crackdown launched against the party after the death of an anti-fascist musician.
Some Greek media outlets reported that Golden Dawn members were claiming that the victims were guards at the party's premises.
Officers from police anti-terrorist units rushed to the suburb of Neo Iraklio, where the incident took place, and immediately cordoned off the surrounding area.