The men were part of a top level counter-terrorism group based near Virginia Beach, Virginia.
Dead are 41 year old Christopher Lorek, and Stephen Shaw, 40.
While few details have been released a Navy spokesman told WAVY-TV the accident happened onboard or near a sealift command ship. The FBI leases the ship and others like it from the Navy for training purposes.
The men were in the hostage rescue team and reports say gunfire was not responsible for their deaths.
FBI director Robert Mueller said "we mourn the loss of two brave and courageous men. Like all who serve on the Hostage Rescue Team, they accept the highest risk each and every day, when training and on operational missions, to keep our nation safe."
The team has been in existence for three decades with only two other agents killed in training incidents.
The group was created when officials were concerned about possible terror attacks during the 1984 Los Angeles Olympics.