Justin Geiger killed Amber N. Carlson with a rifle, then killed Adam Towler with a knife before shooting himself early Sunday, police said.
Geiger, 20, of South Beloit, Ill., also stabbed another man, 19-year-old Anthony Klochak, who survived and escaped from the house. He has been assisting police.
Investigators were still trying to determine the motive, police Commander Dale A. Stalder said.
"There was alcohol involved in this incident. To what extent it was a factor in the incident, we don't know," Stalder said. "At this point, we don't believe there was other drug usage."
The group was apparently having a small party when neighbors called police after hearing Klochak yelling for help.
Geiger and Carlson, also 19, of Denver, died of single gunshot wounds to the head, Stalder said. Towler, 20, of Laramie, died of multiple stab wounds to the chest. Stalder said the knife used was one that had been in the house shared by Klochak and Geiger.
Klochak, of Chardon, Ohio, suffered knife wounds and other injuries.
Geiger, Carlson and Klochak all were students at the University of Wyoming. Towler had attended Emory University in Atlanta and planned to transfer to Georgetown University in the fall.