19 July 2016 Last updated at 14:39 BST
The suspected gunman was among the dead in the shooting near the Castle Swimming Pool in Spalding.
Lincolnshire Police, who were called to Pinchbeck Road at about 09:00 BST, said no shots were fired by their officers.
Those killed are believed to be two women and a man. Police said they were not looking for anyone else in connection with the incident.
Aerial footage shows the scene of the shooting.
Three people have died in a shooting near a swimming pool in Lincolnshire, police have said.