<p style='text-indent:20px;'>In this paper, we prove two new improved Sobolev inequalities involving weighted Morrey norms in <inline-formula><tex-math id="M1">\begin{document}$ {\dot{H}}^s( \mathbb{R}^{n})\times {\dot{H}}^s( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> and <inline-formula><tex-math id="M2">\begin{document}$ {D}^{1, p}( \mathbb{R}^{n})\times{D}^{1, p}( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula>. For instance, the corresponding inequality in <inline-formula><tex-math id="M3">\begin{document}$ {\dot{H}}^s( \mathbb{R}^{n})\!\times\! {\dot{H}}^s( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> states that: there exists <inline-formula><tex-math id="M4">\begin{document}$ C\! = \!C(n, s, \alpha, \eta_1, \eta_2)\!>\!0 $\end{document}</tex-math></inline-formula> such that for each <inline-formula><tex-math id="M5">\begin{document}$ (u, v) \!\in\! {\dot{H}}^s( \mathbb{R}^{n})\!\times\! {\dot{H}}^s( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M6">\begin{document}$ p\!\in\![2, 2^*_{s}(\alpha)) $\end{document}</tex-math></inline-formula> and <inline-formula><tex-math id="M7">\begin{document}$ \theta \!\in\! (\bar{\theta}, \frac{2\eta_1}{2^*_{s}(\alpha)}) $\end{document}</tex-math></inline-formula>, it holds that <p style='text-indent:20px;'><disp-formula> <label/> <tex-math id="FE1"> \begin{document}$ \Big( \int_{ \mathbb{R}^{n} } \frac{ |u|^{\eta_1} |v|^{\eta_2} } { |y|^{\alpha} } dy \Big)^{ \frac{1}{ 2^*_{s} (\alpha) }} \nonumber \\ \!\leq\! C ||u||_{{\dot{H}}^s(\mathbb{R}^{n})}^{\frac{\theta}{2}} ||v||_{{\dot{H}}^s(\mathbb{R}^{n})}^{\frac{\theta}{2}+\frac{\eta_2-\eta_1}{2^*_{s} (\alpha)}} ||(uv)||^{\frac{\eta_1}{2^*_{s} (\alpha)}-\frac{\theta}{2}}_{ L^{\frac{p}{2}, \frac{p}{2}(n-2s+r)}(\mathbb{R}^{n}, |y|^{-\frac{p}{2}r}) }, ~~~~(0)$ \end{document} </tex-math></disp-formula> <p style='text-indent:20px;'>where <inline-formula><tex-math id="M8">\begin{document}$ s \!\in\! (0, 1) $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M9">\begin{document}$ 0\!<\!\alpha\!<\!2s\!<\!n $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M10">\begin{document}$ \eta_1\!+\!\eta_2\! = \!2^*_{s}(\alpha)\!: = \!\frac{2(n-\alpha)}{n-2s} $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M11">\begin{document}$ 1\!<\!\eta_1\!\leq\!\eta_2\!<\!\eta_1\!+\!\frac{\alpha}{s} $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M12">\begin{document}$ \bar{\theta}\! = \!\max \Big\{ \frac{2}{2^*_{s}(\alpha)}, \frac{2\eta_1}{2^*_{s}(\alpha)} -\frac{2t(\frac{\alpha}{2s}-\frac{\alpha}{n})}{2^*_{s}(\alpha) -\frac{2\alpha}{n}}\Big\} $\end{document}</tex-math></inline-formula>, <inline-formula><tex-math id="M13">\begin{document}$ t\! = \!1\!-\!\frac{(\eta_2-\eta_1)s}{\alpha} $\end{document}</tex-math></inline-formula> and <inline-formula><tex-math id="M14">\begin{document}$ r\! = \!\frac{2\alpha}{ 2^*_{s}(\alpha) } $\end{document}</tex-math></inline-formula>. This inequality, together with its counterpart in <inline-formula><tex-math id="M15">\begin{document}$ {D}^{1, p}( \mathbb{R}^{n})\!\times\!{D}^{1, p}( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> extend similar Sobolev inequality in <inline-formula><tex-math id="M16">\begin{document}$ {\dot{H}}^s( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> as well as in <inline-formula><tex-math id="M17">\begin{document}$ {D}^{1, p}( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> obtained by G. Palatucci and A. Pisante [Calc. Var., <b>50</b> (2014)] to the product spaces <inline-formula><tex-math id="M18">\begin{document}$ {\dot{H}}^s( \mathbb{R}^{n})\times {\dot{H}}^s( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula> and <inline-formula><tex-math id="M19">\begin{document}$ {D}^{1, p}( \mathbb{R}^{n})\times{D}^{1, p}( \mathbb{R}^{n}) $\end{document}</tex-math></inline-formula>, respectively. <p style='text-indent:20px;'>With the help of the inequality (1), we succeed in obtaining some new existence results for doubly critical elliptic systems involving fractional Laplacian and Hardy terms.