The bodies of the women, all students, were found in a classroom on the vocational-technical training campus, Baton Rouge Police Sgt. Don Kelly said.
"Unfortunately and sadly, we have three young women who are deceased," Kelly said. "(It appears) she shot two other women and turned the gun on herself."
Police began interviewing witnesses and others to try to understand why the shootings occurred, he said. Police said about 20 people were in the classroom where the shootings occurred.
Police received a call just before 8:30 a.m. and responded within minutes, Kelly said.
"It was over, really, by the time the officers arrived on the scene," he said. "It was contained to one classroom."