Maseru - Lesotho's top military leader, Khoantle Mots'omots'o, and two senior officers were shot dead at an army barracks, a defence forces official said.
The SABC reported that some senior Lesotho politicians had fled the country.
Colonel Tanki Mothae, the principal secretary for defence forces, confirmed the killing of Mots'omots'o, who was commander of the Lesotho Defence Force, but provided no further details.
A news conference was scheduled to be held later in the day.
The impoverished mountain kingdom, surrounded by South Africa, has been through bouts of political turbulence since an attempted coup in 2014.
It has been subject to several coups since gaining independence from Britain in 1966 and its last three elections - most recently in June - have failed to produce winners with clear majorities.
The wife of Lesotho Prime Minister Thomas Thabane was shot dead in June, two days before her husband's inauguration, raising fears of another wave of political violence in the country.