Fusō

They lived with their son, Nagato in a small village near Amegakure.

Background
During the Second Shinobi World War, Nagato and his parents were hiding in their battle-damaged house when Konoha ninja broke in looking for food. Nagato and his parents tried to sneak away but when they were detected, his mother and father fought the ninja to give Nagato a chance to escape. The Konoha ninja may have assumed that Nagato's parents were enemy ninja, or may have simply assumed the home owners would be unwilling to part with food, which was scarce in war time. Either way, Nagato's parents were quickly killed.

This awakened Nagato's Rinnegan, and he killed them to avenge his parents. Nagato buried his parents before leaving to search for food.

The death of his parents is the first great tragedy of his life, and in his eyes evidence that the peace Konoha preaches comes at the cost of others' lives. Because of this Nagato would later co-create Akatsuki.

Trivia

 * Based on Madara Uchiha's words, at least one of them is descended from the Uzumaki clan. A common trait of the clan is red hair. While it is unknown if either of Nagato's parents has red hair in the manga, in the anime, his mother's hair is red.