Three officers were also shot in the attack at the Tree of Life Synagogue in the Squirrel Hill area on Saturday.
Police spokesman Chris Togneri said they have no more information at this time because they are still trying to clear the building and figure out if any more threats exist.
The tree-lined residential neighbourhood, about 10 minutes from downtown Pittsburgh, is the hub of Pittsburgh’s Jewish community.
President Donald Trump said has been monitoring the shooting.
In a tweet, Mr Trump encouraged people to shelter in place and said “looks like multiple fatalities”.
Jeff Finkelstein, of the Jewish Federation of Greater Pittsburgh, told local news station WPXI the organisation’s security officer has notified all Jewish Community Centre (JCC) synagogues and they are on modified lockdown.
Pennsylvania Governor Tom Wolf called the shooting an “absolute tragedy”, saying: “We must all pray and hope for no more loss of life.
“But we have been saying ‘this one is too many’ for far too long.
“Dangerous weapons are putting our citizens in harm’s way.”