Thornton police say 47-year-old Scott Ostrem was arrested Thursday morning, about 14 hours after he fled the store in a vehicle.
Customers and employees inside the store fled after shots broke out around 6:30 p.m. local time, police said.
"From the witness accounts, he nonchalantly walked in to the front of the business through the south door, and just raised the firearm and began firing", Thornton said.
No arrests have been announced, and a call to the Thornton Police Department went unanswered.
The men died at the store, and the woman died at a hospital. No other injuries were reported.
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Thornton police spokesman Victor Avila said Wednesday night that the shooting appears random and there are no indications that it was an act of terror.
The suspect was also seen in a red Mitsubishi Mirage. "We don't know exactly what the motive of the person was, but it was certainly a awful act".
The police spokesman said investigators do not yet know whether the three victims were together. "We were just renting movies, and we just heard this popping noise", Perez told Reuters. The sister said she heard seven or eight shots. "They're shooting!'" Perez told CBS4 of Denver. "I got her out".
'Shooting just occurred at Walmart, 9900 Grant St, multiple parties down.
Almost 50 witnesses were reportedly taken to a nearby police station in the wake of the shooting before being released.