The band members were all from Iran but had come the United States in the past few years seeking more musical freedom. It wasn't immediately clear why the ex-member snapped, police said.
The shooting happened shortly after midnight in a row house in East Williamsburg, an industrial neighborhood home to mostly warehouses where artists can rent cheaper space than in trendier parts of the city.
Police found a 27-year-old man with a gunshot wound to the chest on the second floor. Two others were found shot in the head on the floor above, a 35-year-old and another whose age wasn't immediately known. Another member, 22, was wounded in the arm and was stable at a hospital.
The gunman was found on the roof with a self-inflicted shot to the head, police said. A rifle was found next to the body.
The victims' names were not immediately released.
Martin Greenman, 63, works around the corner from the shootings and said he would see the band members coming and going with their instruments.
"They seemed really nice, not violent or anything, just your typical guys," he said. "They never caused any trouble. I see them almost every day, it's really a shock."
The group played recent gigs in the New York indie rock scene at venues like the Knitting Factory and Brooklyn Bowl.