India's Star News network said the three died in an explosion in the central Connaught Place district.
Another Indian television network CNN-IBN also reported three people had died.
Police and media reports said blasts occurred in swift succession in three busy shopping areas, wounding more than 40 people.
Television channels showed footage of bleeding people lying on the ground and rescuers carrying them away along with pictures of mangled wreckage of vehicles.
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Triple blasts in New Delhi in October 2005, blamed on Pakistan-backed Islamic rebel groups, claimed nearly 70 lives, while a 2001 attack on India's national parliament complex also blamed on Muslim militants killed 14 people.
"We can confirm four blasts. We can't say if they are bomb blasts," said police spokesman Rajan Bhagat.
Bhagat said police were still trying to confirm whether there had been any deaths.