According to officials at the Rajgarh police station, the woman took the extreme step due to a domestic dispute.
The deceased were identified as Sunita Jat, her daughter Sonu (5) and son Sandeep (3).
While both the children succumbed to injuries on the spot, the woman died while undergoing treatment at a hospital, they said.
The bodies have been kept at a government hospital in Rajgarh and will be handed over to family members after post- mortem, the police officials said.
The matter is under investigation, they said.