At least 17 people were killed in the college, with dozens more injured.
The Russian Investigative Committee classified the explosion as a terrorist attack and initiated criminal proceedings.
Eyewitnesses at the school, attended by children between the ages of 14 and 18, said gunmen fired into the air before the explosion, Russian media reported.
Law enforcement officials initially said they were treating the incident at Kerch Polytechnic College as a terror attack, but later said it was mass murder.
Eighteen-year-old Vladislav Roslyakov turned up at the college in the city of Kerch on Wednesday afternoon carrying a firearm and then began shooting, investigators said.
The college's head Olga Grebennikova told local website Kerch.TV that she was called away on business and came back to the school to witness complete chaos, including reports of multiple shooters.
Emergency services carry an injured victim of a blast at a college in the port city of Kerch, Crimea in this still image taken from a video on October 17, 2018. "The Federal Security Service of Russian Federation is investigating at the crime scene, searching for more explosive devices", Russia's National Anti-Terrorism Committee said, revealing no more details.
Russian Federation annexed Crimea from Ukraine in 2014, a move that triggered Western sanctions and worldwide condemnation.
Russian President Vladimir Putin's spokesman, Dmitry Peskov, told reporters that officials are looking into a possible terrorist attack.
He said police arrived about 10 minutes later to evacuate people from the college and he saw dead bodies on the floor and charred walls.
It said around 50 people were wounded, many of whom were teenagers.
"There are already lots of people in the emergency room, and in the operating theatre", an employee of the nearest hospital said.