One of the dead was the shooter, the source said, adding there was no apparent link to terrorism.
A white tarp covered what was believed to be a body in front of the entrance to the office building but police declined to confirm if it was the shooter.
"I heard the gunshots," said Dahlia Anister, 33, who works at an office near the 102-story Empire State Building. "It was like pop, pop, pop. It was definitely in a bunch."
The shooting started shortly after 9 a.m. (1300 GMT) on the busy sidewalk on Fifth Avenue outside the Midtown Manhattan building.
It came at the height of the tourist season outside one of New York City's most popular attractions, startling tourists and commuters. Police cordoned off the area around the building, one of the most recognizable in the world.
The Empire State Building is two blocks from Pennsylvania Station and a few blocks from Grand Central Terminal, two of New York City's main transportation hubs.
"People started running, saying somebody has a gun, so I just ran the other way. I was scared," said Adrianne Lapar, 27, who works in the Empire State Building.
The United States has had two other mass shooting cases this summer. On July 20, James Holmes, 24, is accused of opening fire at a midnight screening of the Batman film "The Dark Knight Rises" in Aurora, Colorado, killing 12 people and wounding 58.
On August 5, a gunman killed six people and critically wounded three at a Sikh temple outside Milwaukee before police shot him dead in an attack authorities treated as an act of domestic terrorism.
The Empire State Building was the world's tallest building for 40 years from its completion in 1931 until construction of the World Trade Center. Following the September 11, 2001, attacks, it was again the tallest building in the city, though was recently surpassed by a new tower under construction at the World Trade Center. (Reporting by Lily Kuo and Mark Hosenball; Editing by Daniel Trotta)
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