RCMP, firefighters and paramedics were called to the blaze at a year-round cabin on Prospect Street around 6:30 a.m. CT.
Three people were in the home at the time of the fire, but only the teen was able to escape, RCMP said in a release.
Neighbours identified the survivor as Ken Mosher, 18. His sister, Lisa Mosher, and an unidentified girl — both of whom were in their early 20s — did not make it out of the cabin, they said.
Neighbour Rena Serlin told CBC News the home belongs to the Mosher family — a woman and her two children — who have lived in the Winnipeg Beach area since the 1970s.
The mother was out of the home for the evening, but her children and a woman visiting from nearby Gimli, Man., were inside the home at the time of the blaze, Serlin said.
The neighbour said she woke up to hear screaming and saw the house engufled in flames. Ken Mosher was in the front yard, distraught, with the dog, the neighbour said.
RCMP did not release the names of the two who died on Sunday, saying their identities have yet to be confirmed. An autopsy has yet to be scheduled.
Friends express shock on Facebook
Residents in the town, located 70 kilometres north of Winnipeg on the southwestern shore of Lake Winnipeg, looked on in shock as investigators combed through the remains of the cabin on Sunday.
Friends of Lisa Mosher posted dozens of messages on her Facebook page, expressing sadness over her death.
"You were the best person ever. Always thought of everyone before yourself," one friend wrote.
"You were an angel who grew her wings too soon. [I'll] see you one day this I know. I love you Lisa. Can't believe this."
Wrote another friend: "You died trying to save your friend … [you're] a true friend and you will be going to heaven and resting [in] peace."
The cause of the fire remains under investigation by RCMP and Manitoba's fire commissioner's office.
Damage estimates are not yet known, but police say the home is a total loss.