A spokeswoman told AFP the bodies were found as coastguards searched the ruins of homes destroyed by the shelling. Both were men believed aged in their sixties.
Yonhap news agency said the victims, who were earlier reported missing, were among 12 construction workers who had been building barracks for marines stationed on the island.
It said one body was maimed from the waist down and the other was riddled with shrapnel.
The military earlier said the shellfire killed two marines based on Yeonpyeong island and injured 15 marines plus three civilians.
Earlier, South Korea and the United States will on Sunday start a naval exercise involving a US aircraft carrier, following a North Korean artillery attack on a border island, Yonhap news agency reports.
The North bombarded the island, killing two marines and wrecking homes.
The drill in the Yellow Sea will include the carrier George Washington, the agency said.
Seoul's defence ministry declined comment but said there would be an announcement soon.
In Washington, the White House said President Barack Obama and his South Korean counterpart Lee Myung-Bak agreed to conduct "enhanced training" and hold joint military exercises in the coming days, AAP reported.
It said the agreement was reached in a telephone call on Tuesday, US time.
The two leaders agreed to the war games "in the days ahead to continue the close security cooperation between our two countries, and to underscore the strength of our alliance and commitment to peace and security in the region," the White House said in a statement.
Obama assured Lee that the United States "stands shoulder to shoulder" with its ally after the artillery barrage which killed two South Korean marines.
China has in the past protested strongly at US plans to deploy an aircraft carrier in the Yellow Sea between the Korean peninsula and the Chinese coast.
South Korea will also deploy more artillery on the border island, Defence Minister Kim Tae-Young says.
"We have six K-9 self-propelled guns deployed at Yeonpyeong island and we plan to bring in more of them," Kim told parliament.
"We will also replace 105mm howitzers with self-propelled guns which have a longer range," Yonhap news agency quoted the minister as telling parliament's defence committee.
source; World News Australia