The disturbing discovery was made by employees at a U-Haul facility in the city's West Alexander neighbourhood Monday afternoon.
Three or four bodies were found in various states of decomposition, said police spokesman Const. Eric Hofley.
Autopsies are planned on the remains to determine exactly how many babies were found, and cause of death, he said. The autopsies will also determine their age.
The U-Haul employees had gone in to clean out the locker because rental payments had not been made.
Sources told CBC News that a woman had been renting it.
Police said a number of people have been interviewed, but no arrests have been made.
Hofley said members of the Winnipeg Police Service's child abuse unit are investigating, and depending on where that leads, members of the homicide unit could join in.