The fire broke out Saturday evening at Shalimar Bagh locality, northwest of Delhi.
"Last evening a fire broke out inside a residential building which resulted in the killing of three women," a police official said. "Four people including two children were rescued."
Reports said two policemen and a firefighter were also injured during the rescue.
Atul Garg, director of Delhi Fire Services (DFS), told media the three dead women aged between 57 and 75.
"Though the women were rushed to a nearby hospital but doctors there declared them brought dead," the police official said, adding that they did not suffer burn injuries but died of asphyxiation.
According to the DFS, preliminary investigations revealed fire broke out in the kitchen on the ground floor of the house, which was locked from outside. It suddenly spread to the upper floors and trapped the occupants.
Last week a devastating fire inside an old building in the city killed 43 people and injured many others.
Chances of fire in Indian buildings are usually high as people ignore safety standards.