Ex-Coronation Street, EastEnders and Emmerdale actress Tracy Brabin was shortlisted along with Jane Thomas.
Ms Thomas was the losing Labour candidate in the Keighley constituency at the 2010 election.
Mrs Cox, who was MP for Batley and Spen, was shot and stabbed in Birstall, West Yorkshire on 16 June.
The seat has been vacant since her death.
The party's candidate is to be chosen from the shortlist at a hustings event on Friday, with the by-election to be held on 20 October.
The Conservatives, Liberal Democrats and UKIP have all said they will not be fielding a candidate in the by-election.
Labour do not expect the election to be "completely uncontested", with Liberty GB and the English Democrats among those previously stating they will contest the seat.
The Labour Party has announced an all-woman shortlist, including a former soap star, for the Batley and Spen by-election caused by the death of Jo Cox.