Children were among the dead, police said.
The shooting took place at Abundant Life Christian School, a private institution that teaches about 400 students from kindergarten through 12th grade, the Madison Police Department said on social media.
Madison Police Chief Shon Barnes said during a press conference that at least five people were killed in the incident, including the suspected shooter, who he identified as a juvenile found dead by police when officers arrived at the school.
At least five people were transported from the scene and taken to area hospitals, Barnes said.
Video posted from the scene on social media showed a massive emergency response including police, ambulance and fire vehicles.
"Multiple injuries have been reported," the Madison Police wrote on social media.
"This remains an active and ongoing investigation."
There was no immediate word on who carried out the shooting.
Gun control and school safety have become major political and social issues in the US where the number of school shootings has jumped in recent years.
There have been 322 school shootings this year in the US, according to the K-12 School Shooting Database website.
That is the second highest total of any year since 1966, according to that database - topped only by last year's total of 349 such shootings
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