The crash occurred at about 2:16 a.m. in the 6900-block of South Cicero Avenue.
Chicago police said they responded to a call of someone pointing a gun at them while traveling in a vehicle.
Officers found the vehicle and attempted to stop it, but the driver did not stop, police said.
Officers briefly pursued the vehicle before ending their chase.
Illinois State Police then saw a vehicle matching the description and attempted to stop it in the 5500-block of South Cicero Avenue, police said.
The driver did stop, but then fled as troopers were beginning their investigation, police said.
The pickup truck then fled the scene at a high rate of speed and plunged off a bridge and hit a train box car in the 6900-block of South Cicero Avenue.
According to the Cook County Medical Examiner's Office, four people died in the crash.
Police said two male occupants and a female occupant were pronounced dead at the scene.
A fourth female occupant was transported to Advocate Christ Hospital in critical condition, police said. Officials did not immediately say whether she was the fourth person who died or if there is an additional victim.
Further information was not immediately available.