Police officers were alerted to the shooting just after 7pm at John Fearon Walk, off Dart Street, in Westminster.
The victims - aged 17, 18 and 19 - were hit but their injuries are not life-threatening.
A London Ambulance Service spokeswoman said the 18-year old was treated for gunshot wounds at the scene.
"She was taken to hospital as a priority, escorted by the air ambulance doctor," she said.
"Two further patients reported to be female teenagers with gunshot wounds made their own way to hospital."
At this stage, no one has been arrested.
According to Sky sources, a single shot was fired in the incident, which is being investigated under Operation Trident.
A Met Police spokesman said: "We have got officers down there trying to piece together what is going on.
"At this stage we are doing all we can."
Detectives hunting for a gunman were understood to be looking at whether the attack was a botched drive-by shooting.
:: Anyone with information can call police on 101, or if you wish to remain anonymous, Crimestoppers on 0800 555 111. Source