San Juan County Sheriff Ken Christesen told reporters that three people believed to be students died Thursday at Aztec High School. New Mexico Police said via Twitter the shooter was among the the deceased.
There were no other injuries reported, state police said.
It wasn't immediately clear if the shooting happened inside the school or who was suspected of firing the shots.
San Juan County Sheriff's Lt. Kyle Lincoln told CBS affiliate KRQE that law enforcement are clearing the building and searching the school.
The New Mexico State Police were taking over the investigation.