The jeep knocked down the infant along with two others while they were walking on a culvert between Pandkhedi and Sejvani areas late last night.
Nandram and Sohan died on the spot, while Madhu (5) breathed her last while undergoing treatment at a hospital in Indore district, Pithampur police station in-charge inspector Santosh Dudhi said.
The jeep driver escaped and a hunt has been launched to arrest him, he said.