The five Italians had been cross-country skiing when they were swept away by an avalanche around 1:40 pm (1240 GMT) near the Grand Saint-Bernard peak, not far from the Italian border, police said.
All five had been dug out alive, and four had been taken by helicopter to nearby hospitals in serious condition, while a fifth was only slightly injured.
"Unfortunately, we have received word from the hospitals that ... Of the four heliported, three have died," Jean-Marie Bornet, a spokesman for regional police in the canton of Valais, told AFP.
Bornet said harsh weather conditions, heavy winds and thick fog had complicated the search, forcing rescue helicopters to land further away from the avalanche site.