Police in Thornton, Colorado, did not immediately release any information about the circumstances of the shooting or who was responsible for the gunfire.
Two men were killed in the shooting. A women, who was injured in the shooting, was taken to a hospital where she later died, Thornton Police Department said on Twitter.
"Detectives currently reviewing security footage & witnesses being interviewed for assistance with suspect(s)," police said on Twitter.
UPDATE: Detectives currently reviewing security footage & witnesses being interviewed for assistance with suspect(s) desc/info. pic.twitter.com/rObFfbxeIf- Thornton Police Dept (@ThorntonPolice) November 2, 2017
No one had been taken into custody, police said.
The situation appeared potentially ominous from authorities' initial reports.
"We've got multiple parties down, we're still trying to ascertain what their conditions are," Officer Victor Avila of the Thornton Police Department told Reuters by telephone not long after police arrived on the scene.
About an hour after the initial alert, police said on Twitter that the threat of gunfire had ended at the store, which was surrounded by police and fire crews.
"At this time this is NOT an active shooter. Active crime scene. We will update as info becomes available," the police department said in that tweet. Confirmation of the two fatalities came about 20 minutes later.
Thornton is city of about 120,000 people roughly 10 miles (16 km) northeast of downtown Denver.
Avila said police were called to the store at about 6:30 p.m. Mountain time (8:30 p.m. ET) and that the gunshots had ceased by the time the first officers arrived at the scene.
"The employees started screaming and the customers started screaming" as people began to flee the store, he recounted. "I ran out, too, because I didn't want to get shot."
Stephens said he did not see where the shooting had come from and did not see anyone struck by bullets.
Local NBC television affiliate 9NEWS reported that a woman whose son was in the Walmart had told her that he had heard about 30 gunshots and was still inside.
A video posted on Twitter showed the Walmart, which is situated in a large complex of big-box stores and other retail outlets adjacent to U.S. Interstate 25, apparently empty except for police officers with guns drawn.
(Reporting by Keith Coffman in Thornton and Dan Whitcomb and Steve Gorman in Los Angeles; Writing by Dan Whitcomb; Editing by Sandra Maler and Michael Perry)
(Except for the headline, this story has not been edited by NDTV staff and is published from a syndicated feed.)