The incident took place when people in the vicinity of the well went inside it to check out the defective diesel engine fitted inside, police said.
However, two of them died of asphyxiation due to poisonous gas inside the well itself, while the third victim died on way to hospital, police said.
The victims have been identified as Govardan Singh, Bali Singh and Shankar singh.
According to police, two more persons who also entered the well are in a "serious" condition and a team will be coming from Indore to investigate the matter.