Officers from Dorset Police were called to the scene shortly after 4.30pm on Wednesday (31 May) following a request from the ambulance service for assistance near Bournemouth Pier.
Ten people were recovered from the water, including a 17-year-old boy and a 12-year-old girl, who had both sustained "critical injuries". Both later died in hospital. Their families have been informed.
The eight other people rescued from the water were treated by the ambulance service for non life-threatening injuries.
An investigation into the circumstances is under way involving Dorset Police, the Marine Accident Investigation Branch and Maritime and Coastguard Agency.
