One of the intruders was carrying a military-issue submachine gun, police said.
Several club patrons drew guns and returned fire, fatally wounding the attacker with the submachine gun, while the other assailant fled on a motorcycle.
Police recovered the submachine gun.
Three of the 14 people wounded in the incident were reported to be in grave condition at a hospital in Belo Horizonte.
Investigators suspect the intended targets of the attack were two gang members.