The mishap occurred when the family members were sleeping and thus could not escape in time, they said.
"All the three victims (in age group of four to eight) were brothers who were staying at the house with their mother Jasu Rathod, a widow, and grandmother Ramila Rathod," said Sachin police inspector P B Sapra.
He said that the children died on the spot due to grievous injuries.
The deceased are identified as Aayush (4), Avinash (6) and Priyanshu (8).
"The house was in a dilapidated condition and may have collapsed due to recent spell of heavy rains in this area," Sapra said, adding that the women are admitted to civil hospital in a serious condition.
Police have registered a case of accidental death.