At least nine people were injured.
The train was travelling from Nice to the town of Digne-les-Bains on a line which crosses gorges and viaducts at up to 3,200ft above sea level.
Images from the scene show the two-carriage train dangling from the tracks, the side of one carriage caved in by the rock.
Local prosecutor Stephane Kellenberger told AFP news agency that one of the dead was a Russian woman, while the other victim came from the Alps region.
One of the injured is said to be in a critical condition, while the others, including the driver, are reported to have sustained lighter injuries.
“A rock the size of a car came off the mountainside and slammed into the first car of the train,” Jean Ballester, mayor of nearby Annot, told BFM television.
There were a total of 34 people on board at the time of the accident, AFP news agency reports.
The agency adds that a total of 110 firefighters and 32 vehicles were deployed from around the region, as well as two helicopters.
They are said to have encountered difficulties in reaching the accident because of heavy snow and the isolated location.
The train travels on track that regularly receives snow and rockfalls, but regional transport official Jean-Yves Petit said that even in winter it is considered safe.
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