Four others were injured in the shootings during the protest, which began at 7:30 a.m. Monday, the (Nigerian) Daily Trust reported.
The public water supply has been stopped in Keffi for almost two weeks, the newspaper said, and the state water board is blaming power cuts by the Power Holding Company of Nigeria.
The protest disrupted traffic for hours, as students blocked the road and chanted "no water, no road," the Daily Trust said.
Following the shootings, a spokesman for the Federal Medical Center, Jamilu Nagogo, told the newspaper that six people had been brought in with gunshot injuries.
Nagogo said one had already died, while another passed away at the hospital.
After the incident Monday, university officials closed the campus and told the students to leave.