They say that two more people were seriously injured at the gathering at the Madrid Arena.
It was not immediately known what caused the crush, but reports suggest the panic began after a flare was thrown in the crowd.
The indoor arena, which can hold up to 10,000 people, was later evacuated.
The three women were trampled to death at about 04:00 local time on Thursday (03:00 GMT), Spanish police say.
Two of the victims were 18 years old, while the third was 25.
A police investigation is currently under way.
"There was a human crush at the only exit they had because the others were sealed off," a partygoer - who gave her name as Sandra - told Spain's Cadena Ser radio station.
A police investigation is currently under way.
UK exchange student David Wilkinson told the BBC that he was near the entrance as the crush was starting.
However, he said he and his friends hadn't realised there had been a tragedy until some hours later.
"I saw one of the entrances was overflowing with people and, with other entrances closed off, something bad was bound to happen," he said.
"People were close to being trampled all night with many falling over multiple times as they struggled to find space to stand.
"There was no police evacuation to deal with the emergency.  Some of my friends were still partying oblivious to the events."
The Halloween music party featured a number of well-known DJs.
The stampede recalled a mass panic at the Love Parade music festival in Germany that killed 21 people in 2010.
Three women have died in a stampede at a Halloween party in Madrid, Spanish officials say.