According to reports, around 100 fans of the comedienne were gathered at the Grand Theatre cinema in Lafayette, Louisiana.
About 20 minutes into the film, one of the audience members, described as a 58-year-old white male, began firing multiple shots at the audience.
Officers have since confirmed to CNN.com that the unnamed shooter was acting alone and died of a self-inflicted gunshot wound.
They added: "There's nothing to believe that there was any kind of motive (behind his actions)."
In addition to the gunman, at least two others are dead, and at least nine others have been left injured.
The victims were reportedly taken to three local hospitals, with their injuries ranging from critical to non-life threatening.
One witness said she heard a loud bang like a firecracker and saw a man staring up and shooting during a screening of the film Trainwreck.
"He wasn't saying anything. I didn't hear anybody screaming either," Katie Domingue told local newspaper The Advertiser.
Amy Schumer, who stars in and wrote the film Trainwreck, has since taken to Twitter to share her heartbreak over the tragedy.
She wrote: "My heart is broken and all my thoughts and prayers are with everyone in Louisiana."
The deadly shooting comes a week after Colorado gunman James Holmes was found guilty of first degree murder after he opened fire during a screening of The Dark Knight Rises in a Colorado cinema in 2012.
That tragedy left 12 dead and 70 wounded.