The attack happened in a remote village of Kamwenge, a district near the border of the Democratic Republic of Congo, where the militia is based.
Kamwenge resident district commissioner Isiah Byarugaba said the ADF, a deadly militia affiliated to the Islamic State group, set a home ablaze with the victims inside.
"The ADF rebels killed three people, an old woman and her two grandchildren. They were burnt in their house last night," he told AFP.
The army and police were pursuing the attackers, he added.
"We are on the ground to assess the situation, and (are) mobilizing the local community against such cowardly attacks by ADF terrorists against innocent civilians."
On December 19, ADF rebels killed 10 people at a trading post in the remote village.
The ADF are accused of having massacred thousands of civilians in DRC in recent years and of carrying out jihadist attacks over the border on Ugandan soil.
Originally a Muslim-majority coalition of armed Ugandan groups, the IS claims the ADF as its central African affiliate.
The DRC launched joint military operations with Uganda against the ADF in November 2021 but rebel attacks have continued.
In October, two foreign honeymooners and their guide were killed while on safari in western Uganda in an attack claimed by IS.
Police also blamed the massacre of dozens of people, mostly students, in June at a school in western Uganda on the ADF.