Video footage from White City Stadium, where the campaign event was being held, shows an explosion happening close to the president as he leaves the stage after addressing supporters.
The names of the dead have not been released but one is reported to work for Vice-President Constatino Chiwenga.
Mnangagwa, who took power after Robert Mugabe's ouster in November, said he was the target of the attack, which the state media is describing as an assassination attempt.
Other injured officials include Oppah Muchinguri-Kashiri, minister of water, environment and climate, and Engelbert Rugeje, party secretary of the ruling ZANU-PF.
The "blast. has affected my vice presidents especially comrade Mohadi", he added.
The run-up to the July 30 presidential vote has been peaceful.
Chiwenga's wife was among those injured and police said the toll could rise as more people came forward.
He said Saturday's "senseless act" would not get in the way of the upcoming elections.
The president's spokesman, George Charamba, released a statement saying that Mnangagwa was unhurt and that an investigation was underway.
"The act of terrorism that happened in Bulawayo is nothing, it does not deter anyone but if colleagues running for the harmonised elections on the 30th of July are afraid we will give them security", he said.
National police spokeswoman Charity Charamba said police were pursuing leads after the blast at a stadium in Bulawayo, the opposition heartland where ZANU-PF has lost all national elections since 2000.
Mnangagwa took over in November 2017 after Mugabe, now 94, was forced out of office when the military briefly took over.
It will be a key test for Mnangagwa, who succeeded long-serving autocrat Mugabe seven months ago, and remains untested at the ballot box.
"Let me make it very clear that nothing will stop the elections in Zimbabwe, nothing at all", said Mr. Chiwenga, who was lightly bruised in the explosion.
Elections in Zimbabwe have been marred in the past by violence and charges of electoral fraud.
Mnangagwa did not believe his enemies were from Bulawayo.
Twenty-three candidates - the highest number in the country's history - will contest the presidential race.