Let $A$ be an abelian surface. We construct two complete families of stable vector bundles on the generalized Kummer variety $K_n(A)$. 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 variety $widehat{A}$ parametrized by $K_n(A)$. Each family exhibits a smooth connected component in the moduli space of stable bundles on $K_n(A)$.