This paper presents a study of immiscible compressible two-phase, such as water and gas, flow through double porosity media. The microscopic model consists of the usual equations derived from the mass conservation laws of both fluids, along with the standard Darcy-Muskat law relating the velocities to the pressure gradients and gravitational effects. The problem is written in terms of the phase formulation, that is, where the phase pressures and the phase saturations are primary unknowns. The fractured medium consists of periodically repeating homogeneous blocks and fractures, where the absolute permeability of the medium becomes discontinuous. Consequently, the model involves highly oscillatory characteristics. The major difficulties related to this model are in the nonlinear degenerate structure of the equations, as well as in the coupling in the system. We obtain the convergence of the solutions, and a macroscopic model of the problem is constructed using the notion of two-scale convergence combined with the dilatation technique.