Victims of the disaster are said to include young players staying at Ninho de Urubu, the training ground of Flamengo football club in Rio de Janeiro.
Three of the players have also sustained various degrees of injuries.
However, one young player said the fire started in an air conditioner in his room.
"The air conditioner caught fire, and I ran out," said Felipe Cardoso, a player with the under-17 side. "Thank God I managed to run and I'm still alive."
Flamengo is one of Brazil's biggest and best-known clubs internationally. They play in the Campeonato Brasileiro Série A league where they finished in second place last season.
Club president Rodolfo Landim told reporters this was "without a doubt the worst tragedy this club has been through" in its 123-year history.
"The most important thing now is for us to try to minimise the pain and suffering of these families".
Brazil football legend Pelé described the club as "a place where young people pursue their dreams".
"It's a very sad day for Brazilian football," he tweeted.