The families of the victims have been notified and none of the dead have yet been identified, the Farmington Daily Times reported.
The sherrif's officer said: "Aztec High School is locked down and being evacuated".
New Mexico Gov. Susana Martinez says several acts of bravery helped save lives during a deadly shooting at a small-town high school. Authorities say it could be a few hours before the lockdowns are lifted.
The Albuquerque Journal reports that according to San Juan County Sheriff Ken Christesen, three people, believed to be students, are dead.
Arrangements have been made for parents to pick up students at a nearby location. Federal agents and state police are investigating.
Aztec is a rural community of 6,500 people in the heart of northwestern New Mexico's oil and gas country and near the Navajo Nation.
"We all know each other in San Juan County", she added.