Nine others were injured as the whirlwind overturned cars and ripped off roofs on the tourist hotspot of Pantelleria on Friday, according to Italy’s civil protection agency.
Four of the wounded remain in a critical condition.
One rescue worker who spoke to Italy’s Ansa news agency described the scene as “apocalyptic”.
Local media report that the tornado ripped down a coastal road.
An off-duty fireman is among the dead, the civil protection agency said. Both he and the other victim, an 86-year-old man, were driving their cars at the time, Ansa news agency reports.
Emergency workers are planning to transfer the wounded to hospitals in the city of Palermo by helicopter once weather conditions improve.
The Mediterranean island of Pantelleria is known for its volcanic cliffs and hot springs and is a favourite spot for celebrities.
While tornadoes are not typically associated with Europe, several hundred are believed to hit the continent every year. Many go unreported as they hit remote rural areas.
Five people were killed and 150 injured earlier this year when a whirlwind hit the Czech Republic.