What unfolded at La Loche Community School in the north of the province was, Mr Trudeau said, every parent's nightmare.
Police in the western province had earlier said they were attending a "serious incident".
Witnesses said there was screaming and more than half a dozen shots.
Brad Wall, the premier of Saskatchewan, confirmed there had been a shooting at a school in an aboriginal community. But he did not give details about victims.
"Words cannot express my shock and sorrow at the horrific events today in La Loche," he said.
"My thoughts and prayers are with all the victims, their families and friends and all the people of the community."
About 900 students attend La Loche Community School for kindergarten through to grade 12.
"I ran outside the school," Noel Desjarlais, a Grade 10 student, told CBC News.
"There was lots of screaming, there was about six, seven shots before I got outside. I believe there was more shots by the time I did get out."
La Loche is an aboriginal community of about 3,000 people.