The explosion occurred in an administrative building at the company's head offices in Neckarsulm, western Germany, shortly before 2 pm.
The three injured people were taken to hospital and around 100 employees were evacuated from the premises.
“Based on the current status of the investigation, a letter exploded inside the building,” police said in a statement.
The blast triggered a large emergency response with police, firefighters, several ambulances and a rescue helicopter racing to the scene.
Police officers combed through the building with sniffer dogs but no further suspicious items were found, the statement added.
“We are deeply upset about the incident and wish our colleagues a good and swift recovery,” Lidl said in a statement to German news agency DPA.
According to police, one person was “moderately wounded” in the blast while the two others suffered only light injuries.