Police say it's not clear why the man opened fire early Monday at the three-story building in Williamsburg.
Police say the shooter had been kicked out of the band, but they aren't sure if that motivated the shooting.
The victims were found on the second and third floors. The shooter was discovered on the roof.
Police say the dead men are believed to be Iranian nationals living in the U.S.
Another bandmate was wounded on the arm and has been hospitalized in stable condition.
Police say officers didn't fire their weapons, and reports of sniper fire on them are incorrect.