It happened at about 8:30 p.m. near the high-rise hotel's front entrance, Las Vegas Metro Police Lt. Ray Steiber said.
The man died at the scene of an apparent self-inflicted gunshot wound after shooting the woman, who was a vendor at Excalibur's concierge desk, Steiber said. The woman was pronounced dead later at a local hospital.
Neither the gunman nor the victim was identified, and Steiber said the relationship between the two wasn't immediately clear.
The shootings happened as the hotel's front desk was busy on a Friday night with the National Finals Rodeo and other events in town. Steiber said patrons scattered at the first sound of gunfire, and no one else was wounded.
Witnesses on the casino floor said they saw poker players abruptly leaving their tables and many distraught people running for the exits after the gunshots rang out, the Las Vegas Sun reported.
Trisha Banks, 14, and her sister Danielle Banks, 17, were at the hotel for a holiday cheerleading party with 80 other cheerleaders when they heard four shots. They hid under some tables until the situation was cleared about 10 minutes later.
"It's scary after what happened this morning (in Newtown, Conn.) and then this," Trisha Banks told the Sun. "How can people do this?"
The woman who was shot worked at the concierge desk as a vendor for the travel website VEGAS.com, which is owned by the Greenspun family, publishers of the Las Vegas Sun.
"We were saddened to learn that a member of the VEGAS.com family was the victim of tonight's tragic and senseless killing at the Excalibur," VEGAS.com Chief Operating Officer Bryan Allison told the newspaper. "Our thoughts and prayers are with her family and friends."
MGM Resorts International owns the Excalibur and several other hotels on the Las Vegas Strip. Company spokesman Gordon Absher said the hotel and casino remained open to guests and patrons. However, the area where the shooting took place was cordoned off by police while the investigation was under way.
The Excalibur has approximately 4,000 rooms and is located at the intersection of Tropicana Avenue and Las Vegas Boulevard. The hotel is named for the mythical sword of King Arthur.