Mounties were called out early Thursday morning after residents of Claresholm, south of Calgary, reported hearing gunshots.
Officers found a car and an SUV on the side of Highway 2 and four people, all in their early 20s.
"Right now it appears that this has been the suicide of a male individual, the murder of two other persons by that person, and the injury by gunshot of a fourth person," said Sgt. Patrick Webb.
"Our members are on scene trying to exactly establish what happened."
Webb said police found the bodies of a man and a woman about a kilometre north of town. They also found a man and a woman with serious gunshot injuries.
The man was taken to a Calgary hospital and later died of his wounds, but the woman was expected to recover.
Police say they believe the man who was found dead at the crime scene just north of the town shot the other three people before turning the gun on himself.
Brent Chimko, who lives in the Claresholm area, said people in the community were abuzz about the violence.
"It is pretty shocking," Chimko told Global TV. "I have never seen anything like this. I have seen traffic accidents on the highway that have been bad, but nothing quite like this."
Part of Highway 2 north of Claresholm was expected to remain closed until late Thursday to allow homicide officers to scour the crime scene for clues.
Webb said police have no motive for the deaths.
The identities of the three dead and one wounded woman were not released.