The shooter, identified as Craig Stephen Hicks, 46, was being held in Durham County Jail on three counts of first-degree murder, the Chapel Hill News and Observer newspaper and other news outlets said.
The victims were identified as Chapel Hill residents Deah Shaddy Barakat, 23, his wife Yusor Abu-Salha, 21, and her sister Razan Abu-Salha, 19, of Raleigh.
Hicks turned himself in after the shooting Tuesday in Chapel Hill, just outside the campus of the University of North Carolina.
Razan Abu-Salha was a student at North Carolina State University, according to the UNC university newspaper, the Daily Tar Heel.
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A Facebook community Our Three Winners has been set up for posts about the three students.
"Deah Barakat, Yusor Abu-Salha and Razan Abu-Salha have returned to their Lord," the community's creators state. "They have set an example in life and in death."
The site features a photo of the three smiling at what appears to be graduation ceremony. The women wear Muslim headscarfs, one of them also in a blue graduation cap.
The police website released a statement confirming the three deaths and saying the department is "questioning a person of interest in the crime and has reason to believe that there is no ongoing threat to the public.