Kip Holden, Mayor-president of the East Baton Rouge Parish, told CNN: "There is still an active scene. They are investigating.
"Right now we are trying to get our arms around everything. It's just been one thing after another."
Baton Rouge's chief administrative office confirmed to a local newspaper The Advocate that at least two officers had died with another also "feared dead".
Police officers shot in Baton Rouge
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It comes just a week after protests over police brutality following the death of a 37-year-old black man, Alton Sterling, who was shot dead by officers at close range.
Mr Sterling's death - and that of two other black men in as many days in Falcon Heights, Missouri and Brooklyn, New York - brought a wave of protests by the Black Lives Matter movement across the US.
At a demonstration in Dallas five people officers were killed by a sniper who was unconnected to the movement. Micah Xavier Johnson said he wanted to "kill white people" before being killed by a police robot.
The motive for the Baton Rouge shooting is currently unclear.
Additional reporting by agencies
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