A man is believed to have shot dead two female members of his family near a swimming pool in the small market town.
The horror unfolded near Castle Swimming Pool where three people including the suspected gunman died. No shots were fired by police.
Officers said the incident was not related to terrorism.
Vicar of Spalding Revd John Bennett told Premier's News Hour Christians should be praying for everyone affected by the incident: "Especially the families of those who've died but also for the police and members of the other emergency services, they will be going through a really difficult time."
He added he was feeling shocked and it wasn't "something you expect to happen on your doorstep".
Officers raided a house in Hatt Close, Moulton, Spalding, which one resident in the street claimed was linked to the shooting.
A spokesman for Lincolnshire Police said: "We can confirm that there has been a firearms incident on Pinchbeck Road in Spalding, in the vicinity of the Castle Swimming Pool, in which three people have been fatally wounded, including the suspected offender.
"There is no indication that this is a terrorist-related incident and no shots have been fired by police. We would urge members of the public to stay away from the area at the present time."
A resident of nearby Pinchbeck Road, who did not want to be named, said she was "terrified" when she heard the news.
"All we know is as much as was on Twitter. We are hoping that, although you never want this sort of thing to happen, but we're hoping it was a self-contained incident because we haven't had any people round here saying there's any danger."
Revd John Bennett added: "Our church is open every day, we have a lot of people come in at different times to light candles and say prayers and I'm quite sure that a lot of people will want to do that quietly on their own.
"We'll be looking to organise something in the next few days," he said when asked if the church was holding a special service.
Revd John Bennett speaking to Premier's Antony Bushfield:
