The Callaway County Sheriff's Department identified the victims Wednesday as 46-year-old Jeffrey Werdehausen, 48-year-old Eugene Pinet and 57-year-old Jackie Pinet. Details about when, how and where they were killed were not released.
Police planned a news conference later Wednesday.
Werdehausen's wife, 41-year-old Gina Werdehausen, was also shot and is hospitalized at University Hospital in Columbia.
The University of Missouri-Columbia said the hospital is on lockdown out of fear the gunman could show up.
KRCG-TV reported that authorities fear the suspect may be armed with a high-powered rifle.