For an abelian surface A, we explicitly construct two new families of stable vector bundles on the generalized Kummer variety
K
n
(
A
)
{K_{n}(A)}
for
n
⩾
2
{n\geqslant 2}
. The first is the family of tautological bundles associated to stable bundles on A, and the second is the family of the “wrong-way” fibers of a universal family of stable bundles on the dual abelian surface
A
^
{\widehat{A}}
parametrized by
K
n
(
A
)
{K_{n}(A)}
. Each family exhibits a smooth connected component in the moduli space of stable bundles on
K
n
(
A
)
{K_{n}(A)}
, which is holomorphic symplectic but not simply connected, contrary to the case of K3 surfaces.