Tehreek-e-Taliban Pakistan claimed responsibility for the attack, saying it was in response to police torture of the organization's fighters who were in prison, Geo News reported.
The organization told Geo News the region could expect more violence.
Police said 10 gunmen stormed a residence where officers from Pakistan's northwest region were staying while receiving training in Lahore.
Punjab province police chief Habibur Rehman said the attackers traveled by motorcycle and car, and were armed with Kalashnikov rifles and hand grenades.
The gunmen stormed the building in the heavily populated Ichhra area of the city while as many as 35 police and prison staff were sleeping, officials said.
"Nine people have died so far in this attack," Rehman said.
Lahore city police chief Aslam Tareen said nine people were wounded.