Investigators were on Monday trying to determine what killed two people packed into a "sweat lodge" at a spiritual retreat in Arizona as families of the victims spoke out.

A 40-year-old man and a 38-year-old woman died on Thursday and 19 others were hospitalized after attendees at the Angel Valley Retreat Center in Sedona were apparently overcome during a "spiritual cleansing" ceremony.

Police probing the deaths have not officially revealed the cause of death in the two fatalities, which sent shockwaves rippling through the region renowned for hosting high-end health retreats.

According to local media reports around 60 people were crowded into the sweat lodge — a makeshift sauna made from plastic tarpaulins and heated by flaming hot rocks — at the time of the incident.

Yavapai County Sheriff's Police said participants had enrolled on a week-long program comprising lectures and seminars followed by a 36-hour fast which ended Thursday before the sweat lodge experience.

Participation in the retreat — run by best-selling spiritual guru James Ray — cost around $9000 according to reports. Police said Ray had been questioned at the scene by officers and refused to give a statement.

Meanwhile, Tom McFeely, the cousin of 38-year-old victim Kirby Brown of New York state, told local media that his relative had researched the risks involved in the retreat and stressed it was not a "crazy cult."

"The one thing we don't want is this to be represented as some sort of cult or crazy thing," McFeely said at a press conference late Sunday.

"Her parents understood what this retreat was and we understand that Kirby's very smart. She takes self-improvement very seriously and she wouldn't put herself in harm's way," McFeely said.