The avalanche took place at 1,600 metres (5,250 feet) of altitude above the village of Mont-Dore in an area known as the Val d'Enfer, the prefecture of the Puy-de-Dome department said in a statement.
Three other people were also slightly injured after a major search operation mobilising some 50 people, it added.
Local daily La Montagne said that those hit by the avalanche were ski mountaineers from a nearby club who had gone on an off-piste route with a guide.
The mountains in the Auvergne, many of which are of volcanic origin, are less high than those in the Alps or Pyrenees further south but can be highly remote with extensive snow cover.
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