State run news agency Xinhua reported local authorities as saying the accident had occurred at about 1pm on Sunday.
Seven miners were believed to be working in the shaft of the Beiyu coal mine in Puxian county when the roof collapsed.
Rescuers are still searching for the remaining miners.
The Beiyu coal mine, owned by Shanxi Puxian County Hongyuan Group, is operating legally.
The incident is the second Chinese coal mine disaster in a matter of days.
Fifteen miners were killed late last week after the coal carriages they were riding on crashed in an underground tunnel at a Chinese mine.
Riding in the carriages was prohibited.