Twenty other students and a house mother escaped the two-story, brick- and wood-frame Alpha Tau Omega house, school spokesman Mitchell Diggs said. There were no reports of injuries. The cause was not immediately known.
Firefighters needed about two hours to bring the blaze under control, chapter adviser Al Bell said. Hours later, smoke billowed out of where the roof had been, and much of the upper floor was in ruins.
A fraternity member who was not at the house when the fire occurred said fellow members told him they woke up coughing and found smoke "everywhere."
"They said they just ran out as fast as they could, to get out of that building as fast as possible," said Sean Weidlein, of Middleburg, Va.
Fred Cummings, 19, a member of the Ole Miss cross country team who was out running at 6 a.m., said the smoke was so think "it would choke you up" a mile away.
"When we saw it, the flames were about two stories above the building," he said.
University spokesman Jeff Alford identified two victims as William Townsend, 19, of Clarksdale, and Jordan Williams, 20, of Atlanta, both sophomores majoring in accounting.
Alford said the body of the third victim had not been identified. He said the last missing student was Howard Stone, 19, of Martinsville, Va., a sophomore political science major.
Among the survivors, "things are pretty rough right now," Weidlein said.
Alford said authorities believed the fire started in the fraternity house's living area.
At least three fire trucks remained outside the house in the early afternoon, and students stood outside yellow police tape as authorities moved through the charred structure.
Alford said the fraternity house had undergone a routine fire inspection Aug. 17, before students moved in for the fall semester. Most classes began Monday.
Problems found included a lack of fire extinguishers in the kitchen area, paint stored in the basement and doors blocked with mattresses.
Alford did not know of any citation issued to the fraternity.
The chapter has about 100 members, Bell said.
"The entire student body is pretty upset about this. Our thoughts and prayers are with the Alpha Tau Omega chapter," said Gordon Fellows, Associate Student Body president at Ole Miss.
Nearby fraternity houses were evacuated. ATO members were taken to one of them.
Federal, state and local investigators will help determine the fire's cause, said Mark R. Chait, who heads the Bureau of Alcohol, Tobacco, Firearms & Explosives office in New Orleans.