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The gunman is dead after a confrontation with police following the attack at the Covenant School.
John Howser, from Vanderbilt University Medical Center, confirmed "three paediatric patients were transported to Monroe Carell Jr Children's Hospital at Vanderbilt, all having suffered gunshot wounds".
The three were pronounced dead after they arrived there.
Metro Nashville Police Department tweeted: "An active shooter event has taken place at Covenant School, Covenant Presbyterian Church, on Burton Hills Dr. The shooter was engaged by MNPD and is dead.
"Student reunification with parents is at Woodmont Baptist Church, 2100 Woodmont Blvd."
The Nashville Fire Department said on Twitter there were "multiple patients".
Pupils at the school walked to safety holding hands to a nearby church where they were reunited with their parents.
The Covenant School has about 200 students from pre-school to sixth grade and was founded as a ministry of Covenant Presbyterian Church in 2001, according to the school's website.