CRPF Constable Ajit Singh fired shot dead the three colleagues inside a camp in Battal Ballian area on Wednesday night after a heated exchange of words, a police officer said.
Devon Erickson, 18, and Alec McKinney, 16, who was listed on the court docket by the name Maya Elizabeth McKinney but who identifies as male, were both arrested on suspicion of a single count.
Thousands of protesters have massed at the army complex since Saturday, urging the military to back them in demanding the resignation of President Omar Al Bashir and the formation of a transitional government.
Police Chief Hank Stawinski said at a press conference that around 12 people were at a 2-year-old's birthday party when an individual fired shots into the gathering.
It was the worst single attack in years in a restive region where a long-running Muslim insurgency has killed thousands of people in a fight against central government rule in overwhelmingly Buddhist Thailand.
Security forces used live fire against protesters near Shuhada Bridge in central Baghdad. Gunfire was used against demonstrators in Basra, the main source of Iraq's oil wealth, who had staged a days-long sit-in.
Five people were injured in the incident, which caused a fire on board, the Interfax news agency cited the service as saying. It is the fourth such incident in recent weeks. Last week Russia detained three North Korean vessels and more than 200 crew.