A man and a woman opened fire on the officers around 11:30 a.m. PDT while they were eating lunch, Las Vegas Metropolitan Police spokeswoman Laura Meltzer said.
One officer died at the scene, while the other died later in surgery at the hospital.
Witnesses said the gunmen said "this is a revolution" while shooting the officers.
The shooters stripped the police officers of their weapons, then crossed the street and went into a Walmart, where they shot and killed a third person at an entrance to the store.
The man and woman then went to the back of the store and shot themselves in what was described by Assistant Sheriff Kevin McMahill as a "suicide pact."