"Today I have received a heartbreaking message: Three conscripts have died in an accident in Raseborg," Gen. Jarmo Lindberg, the head of Finland's armed forces, said in a statement.
The cause of the crash was under investigation, local police chief Mats Sjoholm said.
"The crossing is unguarded, and the weather was bad due to snowfall," Sjoholm told a news conference later Thursday.
A total of 11 people have been taken to nearby hospitals. There were no details on their injuries.
Finland's defense minister, Jussi Niinisto, tweeted that "the morning had started with grim news" and "I feel grief."
The military truck, a Finnish-made Sisu SA-150 transport vehicle, was carrying eight soldiers, who were taking part in a drill in the southern part of the Nordic country, military spokesman Jorgen Engroos told the news conference.
Two trucks had left a nearby military facility in the morning and were headed for a military exercise area when the crash happened. It was unclear whether it was the first or second vehicle that was hit.
The train struck the vehicle at a crossing with no security features near Raseborg by a commuter train from Finland's state-owned VR railway company.
Images from the scene showed a slightly damaged train and the wreck of what appears to be a military vehicle in the woods. The train was standing upright, but it wasn't immediately clear if it had derailed.
Finnish broadcaster YLE said Niinisto, the defense minister, had ordered flags at all military facilities to fly at half-mast Thursday.
Finnish President Sauli Niinisto expressed his condolences in a statement, calling it an "unfortunate tragedy," saying the conscripts were taking part in "a task for the fatherland."
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