The accident on Mont Blanc, the highest peak in the Alps, occurred at dawn, ANSA reported.
The three were among a party of six hit by falling ice, which started the avalanche, The Guardian reported.
The climbers who were killed were found "engulfed in a crevasse," police said.
The guide was taken by helicopter to Annecy, France.
About 40 people were ascending the mountain in an area that is "well-frequented" at this time of year.
Police said they were limited as to the number of rescuers that could be sent because "the sector is always very unstable." About 30 rescuers were sent to the scene.
The climbers had left their lodge, located at about 11,800 feet, about 2 a.m. The avalanche occurred at about 13,780 feet.
Mont Blanc's summit is at 15,780 feet. About 100 people a year die scaling the mounting, the highest fatality rate in Europe.