The fire engulfed the house in village Ranikhinda last night where daily wage labourer Narottam Jagat was staying with his family on rent.
Though fire brigade personnel pulled the three children out of the room and took them to hospital, they died during treatment, police said.
The three are Jagat's son Thakurram (11), daughter Bijayani (13) and neice Kirti.
A leaking LPG cylinder was suspected to be the source of the fire.
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