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.