Police didn't call it a double-murder suicide, but said the public is not at risk, investigators are not searching for any suspects and no officers were injured.
"We want to reassure the public that we have the matter under control and we are not seeking anybody at this point," said Sgt. Josee Valiquette.
She said officers were called about 3:30 a.m. Friday to a rural home near Consort where two men, both in their 40s, had been shot. One was dead and the other was taken to hospital where he later died.
At that time, police learned that a woman had been shot by one of the men at another rural residence in the area.
The 44-year-old woman was found dead at her home.
All three people were known to each other, Valiquette said.
The RCMP major crimes unit from Red Deer is helping in the investigation. Valiquette could not provide any further details.
Staff Sgt. Roberta McKale added that other people were in the one home where the two men were shot.
She said police are still gathering facts and trying to determine a motive.
News of the shooting spread quickly on Twitter and Facebook. McKale said lots of misinformation was circulating on the case.
"There are so many rumours and comments going out on social media that it is causing confusion," she said. "We were informed that the schools were indeed locked down and the RCMP did not recommend that. It was not required. The community is completely safe."
An official with the village would only say the community of 700 people is dealing with a tragedy.
Consort is 220 kilometres east of Red Deer near the Saskatchewan boundary.
Grammy Award-winning singer-songwriter k.d. lang was raised in the community. She wrote a message on Twitter shortly after news of the shooting broke Friday.
"How very sad. I'm ok. Moms ok. But my heart is heavy ... #consort."
A spokesman for lang said she wanted to lend her support to people in her hometown.
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