The three were sleeping in their hut at Baghadapha under Karanjia tehsil last night when the wall collapsed on them, Karanjia tehsildar Mamatarani Nayak said.
The couple died on the spot while their seven-year-old grandson is being treated at the district headquarters hospital at Karanjia, she said.
Many places of Odisha experienced heavy rains in the past three days due to a low pressure. The weather is dry today after the system crossed the state.