A neighbor said Myles had lived on the street, which was still busy with investigators hours after the shooting.
Police believe Myles and the woman, described as a close associate of the judge, were getting ready to head out for their regular early-morning workout when they were shot.
Authorities gather outside a home on the South Side of Chicago, Monday morning, April 10, 2017, after Cook County Circuit Court Judge Raymond Myles was shot to death outside his home.
The woman who was shot was being treated at a local hospital, an official familiar with the investigation said.
Chicago police Chief of Detectives Melissa Staples said the shooting happened shortly before 5 a.m. President Donald Trump has repeatedly singled out the city for failing to quell the violence.
The woman was shot in the leg and was taken in serious condition to Christ Medical Center, police said.
"It's a direct attack on the criminal justice system that keeps our society safe", First Deputy Superintendent of Police Kevin Navarro said. The man was pronounced dead at Advocate Christ Medical Center in Oak Lawn. Hearing the gunshots, Myles exited the residence to investigate and was shot multiple times, dying of his wounds.
"You have our word that we will not let Judge Myles' life be lost in vain, and we will hold his killer accountable", said Navarro at a press conference on Monday morning.
Myles received his law degree from the University of Illinois College of Law.
Police identify the man as Judge Raymond Myles, a Cook County judge.
The judge was appointed to the Cook County Circuit Court in 1999 after an extensive career in law and community service.
"I have always known Judge Myles to be focused and determined in the pursuit of justice, and his conduct earned him the confidence and respect of the people who appeared before him", Evans added.
The FBI has offered a reward for information leading to an arrest and the police urge anyone with information to come forward.