Lincolnshire Police are hunting Daniel Boulton, 29, and are urging members of the public not to approach him.
Officers were called to an address in High Holme Road, just before 8.30pm on Monday after they were alerted by the ambulance service.
A 26-year-old woman and nine-year-old boy were found dead at the scene.
Both suffered multiple stab wounds and a knife was recovered from the scene.
Another young child was also fond at the property uninjured.
Police have revealed Boulton and the victims were known to each other.
"We are not looking for anyone else in connection with this incident at present. Boulton and the victims were known to each other. No one else was injured at the property. However, another young child was located at the property and was uninjured. We understand there is speculation that was child was abducted. This was not the case and the child has been safeguarded.
"If you have seen Boulton, please call 999 immediately.
"If you can assist with our investigation call us on 101, incident 445 of May 31."