The incident occurred in Gawha Farkade village this morning when two-year-old Gunjan Dhande and five-year-old Khushi Thakare were playing at the former's residence.
They suffered a shock when they touched a running air cooler while standing on a wet floor, Dattapur Police said.
The victims were rushed to Dhamangaon Railway hospital, where they were declared dead, police said.