Another 14 people were wounded during the incident in the Saulsville Township, they said in a statement, Reuters reported.
Police didn't say whether the shooting occurred inside or outside the illegal bar.
"Three minors are among those deceased, which include 3- and 12-year-old boys (and a) 16-year-old female," the South African Police Service said.
South Africa has one of the highest murder rates in the world, averaging about 60 a day.