Officials say the early Wednesday fire inside the home in Tampa's exclusive Avila neighbourhood was intentionally set.
Hillsborough County Sheriff's Col. Donna Lusczynski said Blake rented the home to the Campbell family.
Voter registration records identified them as Darrin Campbell and his wife, Kimberly, but investigators say they won't know the victims' identities until preliminary autopsies are completed.
Officials say the Campbells were unaccounted for Wednesday.
Lusczynski described the fire as unusual and said there were "various fireworks" throughout the home.
Two victims suffered from upper-body trauma, but Lusczynski didn't indicate which ones or provide other details. She also said no weapons had been found at the home and that murder-suicide was a possibility.
A former neighbour, George Connley, said Darrin Campbell was the treasurer of Carrollwood Day School, a private school attended by the Campbell's teenage children, Colin and Megan.
"They were a very nice family, we know nothing of any problems," Connley said. "The kids were outstanding children. This is very difficult to put our arms around."
He said that Kimberly Campbell was "sophisticated and classy."
The fire at the more-than-6,000-square-foot home north of downtown Tampa was reported about 6 a.m. Wednesday. Blake bought the home in the Avila subdivision in 2005 for $1.5 million, according to Hillsborough County property records. It had five bedrooms and five bathrooms. Video of the fire showed it engulfed in flames.
Avila is an exclusive enclave known for its mansions and heavy security. Many well-known athletes call the community home and over the years, various football, baseball and tennis players have bought homes in the subdivision, which has a country club and golf course.
Blake, 34, was ranked fourth on the ATP world tour in 2006. He retired last year. He also has the James Blake Foundation, an organization dedicated to cancer research, in memory of his father who died of gastric cancer.
Blake's agent, Carlos Fleming, told The Associated Press that Blake was not in Florida. He declined to comment further.