The victim, Neetu Devi set herself and her two children--Akahsha (3) and Lovely (1)--on fire in Rigwan Mathia village at Maniyar area here this morning, they said.
All three died on the spot, they said.
The victim's husband and father-in-law had gone to the fields at the time of the incident.
The family informed the police that Devi was mentally disturbed.
Further investigation is on in the matter, police added.