The bodies of Otto Messmer, 47, leader of the Russian Jesuit order, and Ecuadorean priest Victor Betancourt, 42, were found on Tuesday night.
The door was found ajar and there were no signs of any theft from the flat in upmarket Petrovka Street.
Police said they had suffered severe head injuries and the bodies had lain undiscovered for at least a day.
The attack on Father Betancourt is believed to have happened at the end of last week as he did not turn up for mass as usual on Sunday, according to Father Federico Lombardi, the Vatican's chief press spokesman.
He added that Father Messmer had returned to Moscow from Germany on Monday evening and was probably killed shortly afterwards.
A statement from the official investigators' office said: "We have launched a probe into the murder.
"[The priests] had skull and brain injuries. Forensic experts have established that they died more than a day before."
The secretary general of the Catholic Bishops' Conference in Russia, Father Igor Kovalevsky, said priests had been murdered in Russia before, but the killing of two priests was "something exceptional".
"They were brutally murdered," Father Kovalevsky told the Associated Press news agency.
The Society of Jesus, as the Jesuit order is named, owns the apartment where the priests' bodies were found in one of Moscow's most exclusive districts, close to the Kremlin and the Bolshoi Theatre.
The Patriarch of Moscow and all Russia, Alexy II, has expressed his condolences over the killings.
Several Russian Orthodox priests have been killed across Russia in the past few years.Prosecutors blamed the attacks on criminals looking to steal icons and other church property.
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