A policeman was also killed and two other women were injured in the attack that took place near a passport office in provincial capital Quetta.
City police chief Abdul Razzaq Cheema said the attack killed two ethnic Hazara Shiites Muslims in their 20s and a policeman.
The deceased received multiple bullets to their heads, police said.
The attackers managed to escape from the spot.
Nobody has claimed responsibility for the attack but several such attacks have been carried out in the past by outlawed extremist group Lashkar-e-Jhangvi.
On June 7, unknown assailants killed five people belonging to the Hazara community in Bacha Khan Chowk. Two persons from the community were gunned down on May 27.
Forty five Shiite Ismailis were killed in the southern city of Karachi in May in the first attack in the country claimed by the Islamic State group.