Three young men, ethnic Albanians, have been shot dead late on Friday on a busy boulevard in Skopje, the Bulgarian national radio reported.
One of the victims died on the spot, while the other two were taken to the city hospital but the doctors could do nothing to save them.
The men are aged between 20 and 30.
There were no immediate reports about the suspected killer.
The shootout comes just days after Macedonian police clashed with supporters of an ethnic Albanian party outside parliament as rival MPs exchanged blows inside the building over electoral reforms.
At least five people were arrested and three were hurt as they tried to resist arrest on Tuesday evening.
An ethnic Albanian uprising almost led to a civil war in Macedonia in 2001.