The shooting happened at the Mahogany Masterpiece Dance Studio at around 22:30 (03:30 GMT) on Saturday.
“This morning, I grieve with the people of Dadeville and my fellow Alabamians,” state governor Kay Ivey said.
“Violent crime has no place in our state, and we are staying closely updated by law enforcement as details emerge,” the governor added in a statement on Twitter.
The governor is a strong supporter of second amendment rights – the right to keep and bear arms – and last year signed legislation abolishing the requirement in Alabama to get a permit to carry a concealed handgun in public.
Her candidacy for last year’s governor election was endorsed by the National Rifle Association.
“One of the young men that was killed was one of our star athletes and just a great guy,” he said.
“I knew many of these students. Dadeville is a small town and this is going to affect everybody in this area.”
A community vigil is being organised for the victims of Saturday’s shooting.
There has been no confirmation about what led to the incident, or whether any suspects have been taken into custody.
The Alabama incident follows a shooting on the same day at a park in Louisville, Kentucky, which killed two people and injured four others.
With a population of about 3,200 people, Dadeville is a small, rural town located in Tallapoosa County in the east of Alabama.
There have been more than 140 mass shootings in the US so far this year. (BBC)