Your JSON is invalid. You've said you can't change it, which is unfortunate.
It looks like it's been double-stringified but then the outermost quotes have been left off. If so, you can fix it by adding " at each end and then double-parsing it, like this:
var str = '{\\"value1\\":\\"XYZ\\",\\"value2\\":\\"ZYX\\"}';
str = '"' + str + '"';
var obj = JSON.parse(JSON.parse(str));
console.log(obj);
Ideally, though, you'll want to go through the database and correct the invalid data.
I actually thought double escape was the correct way of escaping in string/JSON.
In JSON, strings are wrapped in double quotes ("), not double escapes. You only escape double quotes within strings (with a single \).
If you've been creating JSON strings manually (in code), don't. :-) Instead, create the structure you want to save, and then stringify it. Building JSON strings manually is error-prone, but a proper JSON stringifier will be reliable.