A family member entering Donerson's South Side home found the woman shot on the living room floor. Officers later found Hudson shot in a bedroom, police said.
At least one of the victims suffered defensive wounds, said authorities who described the shooting as domestic violence.
William Balfour was arrested Friday but had not been charged, law enforcement sources told the Chicago Tribune and Chicago Sun-Times. A statewide Amber Alert for Julian that remained in effect Saturday said Balfour was a suspect in the double homicide.
Police spokeswoman Monique Bond said investigators were talking to "a number of people in custody" but she declined to elaborate.
Illinois State Police Lt. Luis Gutierrez said there was no indication that Julian may have been taken outside the state.
Balfour was married to Hudson's sister, Julia, for several years but they were separated, said his mother, Michele Balfour. She said Donerson had ordered him to move out of the family's home last winter.
Authorities would not confirm the identity of Julian King's parents, but family friends said he is Julia Hudson's son. There was no immediate word on the identity of the boy's father.
Jennifer Hudson's personal publicist, Lisa Kasteler, said the family wanted privacy. She did not immediately respond to messages seeking comment Saturday.
Records from the Illinois Department of Corrections show Balfour, 27, is on parole and spent nearly seven years in prison for attempted murder, vehicular hijacking and possessing a stolen vehicle. Public records show one of Balfour's addresses as the home where Donerson and Jason Hudson were shot.
The Cook County medical examiner's office said autopsies were being conducted Saturday morning, but results would not be available until later in the day.
The tragedy comes as Jennifer Hudson, who grew up in Chicago, continues to reach new heights in her career. Her song "Spotlight" is No. 1 on Billboard's Hot R&B/Hip-Hop charts and her recently released, self-tiled debut album has been a top seller. She was featured in this year's blockbuster "Sex and the City" movie and is also starring in the hit film "The Secret Life of Bees."
She won an Academy Award for best supporting actress in 2007 for her role in "Dreamgirls." In an interview last year with Vogue, Hudson credited her mother with encouraging her to audition for "American Idol," which launched her career.
The singer, whose father died when she was a teenager, described herself as very close to her family. In a recent AP interview she said her family, which includes older siblings Julia and Jason, helped keep her grounded.
"My faith in God and my family, they're very realistic and very normal, they're not into the whole limelight kind of thing, so when I go home to Chicago that's just another place that's home," she said. "I stand in line with everybody else, or, when I go home to my mom I'm just Jennifer, (so she says), 'You get up and you take care of your own stuff.' And I love that; I don't like when people tell you everything you want to hear, I want to hear the truth, you know what I mean."
Hudson recently announced her engagement to David Otunga, best known for his stint on VH1's reality show "I Love New York."
Hudson's representatives would not disclose her whereabouts Friday. She had been scheduled to appear Monday in Los Angeles to collect an ensemble cast honor at the Hollywood Awards for "The Secret Life of Bees" with co-stars including Alicia Keys, Queen Latifah and Dakota Fanning.
