One of the victims was shot multiple times and is in serious condition, according to the Royal Cayman Islands Police Service.
The wounds sustained by the other two women are not life-threatening, police said.
The three are being treated at the Cayman Islands Hospital. Police received a report that the women were at the hospital at 4.08 a.m.
George Town CID is investigating the shooting.
Police are appealing for witnesses who were in or near McField Square Friday night or Saturday morning. Anyone with information can call 949-7777 or 800 TIPS (8477).