The Oklahoma Highway Patrol told Fox affiliate KOKH FOX 25 the shooting happened just before 10 a.m. in the parking lot of a Walmart in Duncan, located roughly 75 miles south of the state capital of Oklahoma City.
The Duncan Police Department said on Facebook that the woman and one of the men were found shot to death in a car, while the other man was found dead outside the car in the parking lot.
"A handgun was found on scene," police said. "We will update as more information comes in."
Duncan Police Chief Danny Ford told the Associated Press that authorities are looking for witnesses to the shooting. One of the people found dead on Monday is believed to have been the shooter, though additional details have not been released.
A dispatcher told the Associated Press that "everyone is at the scene."
Aerial images from Oklahoma City television station KWTV/KOTV showed police tape covering part of the parking lot as first responders combed through the area.
Authorities marked the location of shell casings around one red vehicle, where bullet holes could be seen in the windshield of the car.
The Duncan Public Schools said on Facebook that schools were placed on lockdown due to the shooting, but have since been given the all-clear by police.
In a statement to Fox News, Walmart said it was "assisting however possible."