The health body has not confirmed the ages of the children or where they are from, but said PHE East Midlands has been working closely with environmental health colleagues from Charnwood Borough Council following the confirmation of two cases of hemolytic-uremic syndrome (HUS) in two siblings.
PHE said both children died and their thoughts are with the family.
Dr Lauren Ahyow, consultant in communicable disease control at PHE East Midlands, said: “E.coli is an infection that causes a spectrum of illness ranging from mild through to severe bloody diarrhoea, mostly without fever.
“Sometimes the infection can cause a condition called haemolytic uraemic syndrome (HUS) which affects the kidneys and can be very serious.
“Young children and elderly people are more prone to development of complications associated with E.coli.
“E.coli can be acquired through a number of routes including contaminated food, contact with farm animals and infected water.
“PHE are working with partners to investigate further to try and determine a source of infection.”
The body said people can be reassured E.coli is a relatively rare infection, adding that good hand hygiene and supervised hand hygiene for small children is essential to minimise the risk of developing an infection such as E.coli.