The incident happened when the children were playing in the basement of the building.
According to police, the incident happened in New Krishna Park around 11.20am. The police said one child was also injured in the incident.
The children who died have been identified as Meena and Gyan both six-year-old and the injured child has been identified as Chandni (2), the police said.
Meena and Gyan were taken to Deen Dayal Upadhyay Hospital where they were declared brought dead, the police added.
According to the police, the incident happened when one of the walls collapsed while the labourers were at work.
"There was some problem with the foundation of the building and while the labourers were at work, the side wall collapsed. The three children were buried underneath it,” said V Renganathan, DCP (west).
The police said that the parents of the victims are labourers and were working at the same construction site when the incident took place.
One fire tender was sent to the spot and the children were brought out after half-an-hour of the incident.
The police are investigating the matter and would register a case after initial investigations. The police are investigating to find out whether the owner of the building had obtained permission for construction from Municipal Corporation of Delhi (MCD) or not.
The labourers also raised slogans outside the spot and claimed that the police or the ambulances did not come on time.