Police Inspector DF Peace told US media that two men and a woman were killed in the shooting.
Hundreds of people gather and enjoy each weekend on Philadelphia’s famous South Highway, the DFP said.
He said the police officer returned fire on the shooter, but it was not clear if the man had been shot.
No arrests have been made so far, local media said.
DFP said guns were recovered from the scene and police would have to wait until morning to review surveillance footage from nearby business centers as shops closed late at night.
DF Peace called the investigation “better” and said there were still “many unanswered questions”.