The Texas A&M-Commerce University Police Department said it received a call shortly before 10:30 a.m. from a student. Responding officers found the two women dead in a room, police chief Bryan Vaughan said during an afternoon news conference.
The baby was also in the room, Vaughan said, and was in stable condition at a nearby hospital.
Police initially had instructed students, faculty, and staff to take shelter and stay in place.
"There have been two confirmed deaths. The third victim has been taken to the hospital for treatment," the university wrote in a statement on its website. "UPD has stationed officers throughout the campus, including all key gathering points, for the safety of the campus community."
Police said there was no immediate danger to the area.
Larry Cooper III, a freshman living in the Pride Rock residence hall, told the Dallas Morning News he left the room Monday just before the shelter-in-place was announced. He said he was waiting in a friend's room on the first floor of the residence hall.
"There's police blocking the doorways, but other than that we're all just kind of sitting in and waiting on the news to happen," Cooper said.
Police lifted the shelter-in-place order around 1:30 p.m. Pride Rock residence hall and the surrounding area hall remained blocked off.
Texas A&M-Commerce University is located about 65 miles northeast of Dallas. The main campus of Texas A&M University is located about 230 miles away in College Station, closer to Houston.
University police said all classes were canceled for the rest of the day amid an active criminal investigation.
Last October, two people were killed and a dozen others injured in an off-campus shooting at a homecoming and Halloween party involving Texas A&M-Commerce students.
The Associated Press contributed to this report.