The children, aged between six and 13, were playing in the open-sided building at a school in Phichit province on Monday, watched by a number of spectators.
At about 6:30pm (1130 GMT) the storm struck, according to local media, and heavy rain and high winds caused the roof to collapse suddenly.
The fatally injured adults were two parents and a janitor, the provincial office of public relations told AFP, while 18 people were injured.
A video shared on the Facebook page of the local public relations office showed a twisted mess of metal, with poles and corrugated iron lying crumpled on the ground.
The storm also damaged several houses in Sam Ngam district, police told AFP.
"All the houses have been damaged by the storm but this arena just completely collapsed," local mayor Kannika Intarakul told the ThaiPBS broadcaster.
Schools in Thailand commonly have a sports pitch with an open-sided roof to protect children from the fierce tropical sun while they play.
The six-year-old boy was rushed to hospital but died of his injuries.
Those injured remained in two hospitals, where they were receiving treatment. None were reported to be in a serious condition.
The incident comes as Thailand enters monsoon season, with heavy rain forecast for much of the country in the coming days.
"In a blink of an eye, I heard a sound just like in a war zone and in a span of five seconds, the storm reached me," another witness told ThaiPBS.
Neighbouring Myanmar was recently battered by Cyclone Mocha, which swept across Rakhine state, killing 145 people.
Safety and maintenance standards in Thailand are sometimes lax, and building collapses are not unknown.
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