The horror unfolded near the town’s Castle Swimming Pool this morning, when three people including the suspected gunman died. No shots were fired by police.
The women have been named locally as Claire Hart, 50, and her daughter Charlotte Hart, 19. Their husband and father is Lance Hart, 57.
Neighbours said police swooped on the family’s detached £280,000 four-bedroom house on Hatt Close in nearby Moulton at around 10am - an hour after the shooting.
Officers have since been searching the property where Claire and Lance Hart had lived with Charlotte, and sons Ryan, 25, and Luke, 26, for the last seven years.
Police confirmed all three people who died were known to each other, but would not comment on their relationship, and said a shotgun was used.
A neighbour known only as Peter, described Mr Hart, who is understood to have worked at a nearby builders’ merchants, as “the nicest guy you could ever meet” and said he “would do anything for anyone”.
Another neighbour described the Harts, who are believed to have married in 1990, as the “loveliest couple ever”.
A construction worker tried to resuscitate one of the women in the attack.
The worker, who asked not to be named, said: “I was working nearby and at about 9am, I heard three shots that went off.
“I jumped over a fence to go and help which is when I saw a man in his late 40s to early 50s, a woman who was about 40 and a younger woman who was about 20.
“When I arrived, the man was dead and I also saw a shotgun briefly.
“Then I gave the mouth-to-mouth resuscitation to the older woman who was severely injured, while another lad came out of the swimming baths to help the younger woman.
“From what I could tell, the man had done away with the two women and then shot himself last.”
Speaking to journalists outside Spalding police station, Temporary Superintendent Paul Timmins said officers found a dead man and two gravely injured women when they were called to the scene at around 9am.
He said: “CPR was attempted on both women and I am sad to report that both women have died. We believe a shotgun was involved in the incident and are currently investigating the circumstances of this tragic incident.
“We confirm that we are not seeking anyone else in connection with this tragedy. I can also confirm that no shots were fired by police and that this is not being treated as a terrorist incident.
“We believe all those involved were known to each other. However, we are not in a position to release their names, nor confirm their specific relationship to each other.
“Clearly, a situation such as this for a small community like Spalding is hard to comprehend. We are working alongside colleagues from the East Midlands Major Crime Team in order to provide answers around what has happened today. We really need your help so I would encourage anyone with information to contact us on 101, quoting incident number 92 of today.”
East Midlands Ambulance Service said paramedics were told to approach the scene with caution and fought to save the three people who died.
A spokeswoman said: “We received a call at 9.04am reporting gunshots on Pinchbeck Lane, Spalding. Our ambulance crews and paramedic officer were sent to the emergency and told to approach with caution.
“Upon arriving at scene, our paramedics treated three patients who had gunshot wounds. Despite the best efforts of everyone at the scene the patients were pronounced dead.
“This is a tragic incident and our thoughts are with the friends and families of those involved.”
The air ambulance was also called.
District councillor Gary Taylor, who represents Spalding Castle ward, said: “It’s terrible news and local people are very shocked. It’s a very quiet place, gun crime does not exist in this area at all. It’s shocking news.”
Eyewitnesses reported hearing “dozens” of police cars and an air ambulance heading to the scene.
One woman, who did not wish to be named, said: “We heard all the police cars earlier this morning - they were absolutely everywhere, tearing around.
“We didn’t hear any shots, nothing at all, only the dozens, literally dozens, of police cars. It must have been about half past nine or quarter to 10 when it started and there was car after car.”
Another local, who asked not to be named, said an air ambulance was still outside the swimming pool more than an hour after the incident.
Labour leader Jeremy Corbyn said on Twitter: “Shocking events in Spalding, Lincolnshire. My thoughts are with the victims and their families.”