I agree with those that say its unlikely but possible - & with the vast number of stars and planets that are out there surely there must be one or two examples in existence - although most likely a ve-eeery long distance away from us.

Then again we have two close examples that are nearly "double planets" like that in our own solar system : Pluto-Charon & Earth-Luna so maybe there're NOT that rare after all ... ?

I'd love to have such a pair of worlds discovered and imaged!

Robert L. Forward wrote an excellent "hard" SF novel 'The Flight of the Dragonfly' (New English Library, 1984) featuring two such (fictional) terrestrial planets (Eau & Roche - "water" & "rock") around Barnard's Star.

Aussie SF author Sean Williams in another novel had two gas giants in a similar situation although they were less integral to the plot.

Plus I'm sure there are other SF references folsk could offer.

You may enjoy reading those if you can find them ... then again they might have sparked this question!