The three were crushed by lorries that were unloading the train at Woergl in western Austria in the early hours, police said in a statement.
It did not indicate the migrants' nationality.
The incident happened a day before presidential elections in Austria in which immigration has been a major issue.
A police spokesman said the migrants were hiding under the trucks and would have had about 20 minutes to leave between when the trucks switched on their engines and started moving.
"Since they stayed lying there we assume that because of the cold they may have lost consciousness or were perhaps already dead," he said, adding that the temperature in Woergl had been around -2 Celsius (28 Fahrenheit).