Leicestershire Police said they received a report at around 4.23pm that a 15-year-old girl had been injured in Melton Mowbray.
She was taken to hospital, and during the investigation officers forced their way into a house where they discovered two children and two adults with injuries.
A man, a woman and a child later died, and two other children are being treated at the Queen's Medical Centre in Nottingham with serious injuries.
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A police spokesman said: "We are in the initial stages of the investigation but at this stage we are not looking for anyone else in connection with the incident. The house has been cordoned off to allow for a forensic examination."