Lincolnshire police were called to Caste Swimming Pool, in Spalding, at around 9.00AM where three adults had been shot and later died from their wonds.
The suspected gunman was also found shot at the scene.
Locals have reported that the gunman had shot two females before shooting himself, which “looks by all accounts to be a very tragic family incident”, councillor Gary Porter said while speaking on BBC radio Lincolnshire.
A spokesman for the Lincolnshire police, whle talking to The Guardian, said: “We can confirm that there has been a firearms incident on Pinchbeck Road in Spalding, in the vicinity of the Castle swimming pool. There is an ongoing police investigation and at this stage and we are not looking for anyone else in connection with the incident.
“There is no indication that this is a terrorist-related incident and no shots have been fired by police. We would urge members of the public to stay away from the area at the present time.”
Aswell as locals being adviced to stay away from the area, the local schools in Spalding are reported to be in Lockdown to ensure the safety of the children.