RCMP say the fire started inside the shed, but the exact cause is still under investigation.
The fire broke out Saturday afternoon when the children were inside the building.
Two six-year-old girls and a five-year-old girl were airlifted to Winnipeg and treated for burns.
Police say one of the six-year-olds is in serious condition.
A three-year-old boy was also injured, but was treated and released.