The train is understood to have been heading to Immingham Docks.
British Transport Police said the incident, at Croft Lane in the village of Cherry Willingham, was reported at 11.57am and Lincolnshire Police and East Midlands Ambulance staff also attended.
East Midlands Ambulance Service attended but both people involved in the accident were pronounced dead at the scene.
A British Transport Police spokesman said:
"Both people have been pronounced dead at the scene. Officers are now working to establish the full circumstances of the incident, which is currently being treated as non-suspicious.
"The Rail Accident Investigation Branch has been informed."A spokesman for Cherry Willingham Community School, close to the crossing, said:
"We have been told by the British Transport Police that we can't send children who live in the village home that way, and we have told all parents as much as we can."Ms Annette Atkinson, a shop worker at Maddison's News in Cherry Willingham said:
"Several customers have been in saying they heard a train sounding its horn for a long time prior to this.
"We heard the train hit a person at Green Lane, but took until Croft Lane to stop."Sir Edward Leigh MP for Gainsborough said:
"It is with shock and deep sadness that I have learnt of these tragic deaths today, in Cherry Willingham. Words will never adequately express the grief that will be experienced by the friends and family; a grief shared by the residents of Cherry Willingham and our wider community. I am confident that those in need of support at this terrible time will find it and that answers will be forthcoming to determine what has gone so tragically wrong. My thoughts are with the family, friends and community at this time."