Humberside Police said the crash, which happened at 10pm on Monday night, involved a white BMW 1 Series, which collided with a grey Peugeot 3008 before coming to a halt and setting alight.
Emergency services attended, however the woman, who was travelling in the Peugot, and the two men in the BMW, were pronounced dead.
A third man was taken to hospital with life threatening injuries, where police said on Tuesday he remains in a critical condition.
Specially trained officers have been assigned to offer support to the families of the victims.
Police are appealing for witnesses and are asking for anyone with dashcam footage to come forward.
They can be contacted on 101. Alternatively call independent charity Crimestoppers on 0800 555 111.