The police responding shortly before 9 pm arrived to find one victim on the porch and four inside, the St Louis Post-Dispatch newspaper said online.
All five were in their 20s or 30s, Police Chief John Hayden told the paper.
Three were found dead, and a fourth was barely breathing, with a gunshot wound to his head. The fifth victim, who had been shot in the leg, was breathing and conscious, the paper added.
There was no word on the circumstances of the shooting or whether police were hunting suspects.
Reuters could not immediately reach authorities to seek comment.