One of the victims, who had been stabbed or shot, was found on the road by an off-duty New Mexico state police officer on Thursday morning, said Albuquerque Police Department spokesman Gilbert Gallegos. The person later died after being taken to hospital.
A blood trail led responding police to a nearby house in which two other people were found dead with gunshot wounds, Gallegos said.
The scene remained active, though police said there was no outstanding public safety threat, local media reported.
"We do not think there is an offender outstanding, but this is early in the investigation and a firearm was found on scene," said Gallegos.