The killings took place in the rural town of Kot Addu, 60 kilometres (40 miles) west of Multan, the main city in the underdeveloped southern region of Punjab province, where many rely on traditional healers and black magic to cure their ailments.
The 40-year-old woman and her 15-year-old daughter were taken to a so-called holy man on Monday by a relative who believed they were possessed, district police chief Awais Ahmed Malik told AFP.
They both died of suffocation when the practitioner locked them in a room and lit a fire to expel their demons, he added.
The case was confirmed by a local administration official.
Malik said the initial postmortem report showed that both mother and daughter were suffering from gastroenteritis.
Police have registered a murder case against the exorcist and his female assistant, both of whom have fled, he added.
Faith healers are common across Pakistan, an overwhelmingly Muslim country, with the practice rooted in mystic Sufi lore.
A cure-all to some and for others a scam that preys on people’s superstitions, black magicians continue to thrive despite the disapproval of some hardline schools of Islam.
In January, a father-of-six in southern Sindh province strangled five of his children, apparently believing the sacrifice would endow him with magical powers including alchemy.