Two employees of Modine Manufacturing Co. died at the plant late Tuesday night; a third died later at a hospital, authorities said.
"He came in (the plant) and began firing," Capt. Jim Johnsen said. He said four others were wounded.
The injured were taken to hospitals in Jefferson City and Columbia, about 30 miles north; their conditions were not immediately available. Police Chief Roger Schroeder said victims were found throughout the building.
"We've got multiple crime scenes, large scenes, ... and it's going to take a while to sort out," Schroeder said.
The man was the only suspect in the plant shootings, Schroeder said.
"We're in the early stages of what is going to be a very complex situation," Schroeder said.
Johnsen said a witness called police about 10:20 p.m. with a description of the shooting suspect's white truck. An officer leaving the police building, about six blocks from the state Capitol building, noticed it in an alley and confronted the driver before the two exchanged gunfire, he said.
Johnsen said the suspect is a man in his 20s from nearby Holts Summit in central Missouri. His identity, as well as those of the victims, was not immediately released.
Officers guarded the outside of police headquarters early Monday, where the suspect's body was covered in a tarp about 30 feet from the front entrance.
Employees' relatives, who gathered outside the plant, said about 200 people work there. Linda Cade, whose husband Robert has worked there for 14 years, said he called at about 10:30 p.m. to say there had been a shooting and that he was OK.
"I'm shocked, scared that it could happen here and I'm just relieved that my husband is OK," Cade said.
After midnight, about 20 workers gathered in small groups outside the factory gate. One female worker hugged someone waiting outside, crying. One employee, who would not give a name, said the workers were told not to talk to reporters about what happened inside.
Racine, Wis.-based Modine Manufacturing Co. manufactures air and oil filters for a variety of engines, and has manufacturing plants all over the world.
Company spokesman Mick Lucareli said he had very few details.
"The loss of any life is terrible," Lucareli said from Racine. "We just want to find out the details as soon as we can."
By Paul Sloca