The attack in Nad Ali district comes in the midst of the Taliban's annual spring offensive launched last month, in what is expected to be the worst fighting season in 15 years of war.
"Three policemen were killed in a suicide car bombing in Nad Ali," Helmand police chief Abdul Rahman Sarjang told AFP.
"Seven police and two civilians were among the wounded," he added.
Eyewitnesses said the powerful bombing left a huge crater outside the training center.
The attack comes after a period of relative calm in Helmand, a Taliban hotbed, for more than a month when many militants left the frontlines to assist in harvesting poppies for opium -- the group's main source of revenue.
Taliban spokesman Qari Yousuf Ahmadi said the militants were behind the bombing and claimed that dozens of policemen were killed in the attack.
The militant group is known to exaggerate death toll figures in attacks on government or Western targets.
The insurgents have frequently used roadside bombs, ambushes and suicide assaults in nearly 15 years of war.
The Taliban have vowed "large-scale attacks" across Afghanistan in this year's spring offensive -- dubbed Operation Omari in honor of its late founder Mullah Omar, whose death was announced last year.