Officials said a 50ft wall at the warehouse collapsed.
A wall collapsed at the Amazon fulfillment center in Baltimore.
Amazon's senior vice-president of operations, Dave Clark, said in a tweet on Saturday there were two fatalities at the site, on the south-east side of the city.
Firefighters then worked through the night to try to locate a second person who was reported missing.
Fire department chief Roman Clark told the Baltimore Sun that a 15-metre wall collapsed as a storm hit the area.
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Amazon released a statement on Saturday and said that the building would remain closed until further notice.
Officials are unaware of any other injuries but are continuing to assess the scene.
Firefighters found the first victim on Friday night, but he was declared dead at the hospital. "Our thoughts and prayers go out to the families impacted by Friday evening's tragic event".
The U.S. National Weather Service had earlier warned of thunderstorms in the area, with some producing gusty winds and heavy rain.
It left a track of intermittent damage, flipping over a tractor-trailer, ripping down part of the warehouse, and tearing off the roof of a nearby apartment complex in Dundalk, he said.