The blast occurred early in the afternoon in Charmey, a mountain village, at a cellar called the Caves d’Alpage de la Tzintre, cantonal police said.
The explosion was caused by a leak of gas from a fuel tank used for heating, according to an online report from La Liberté newspaper.
The victims were workers at the cellar, where 6,000 cheeses were being stored, the newspaper said.
Three of the injured men were transported by helicopter, each to different hospitals in Lausanne, Bern and Zurich.
Two seriously injured workers were inside the building along with the man who died, while the others were outside, police said.
The identities of the victims were not initially released.
Fire-fighters called to the scene quickly brought under control a fire that broke out after the explosion.
Cantonal justice authorities launched an investigation into possible negligence in the case.
The cellar, part of a 10-million-franc investment by the Charmey dairy and a local cheese cooperative, was set to be inaugurated on Friday.
The ceremony has now been cancelled, along with a planned open house on Saturday.
The cellar was housing a traditional kind of Gruyère “d’alpage” cheese.
The cheese is made in chalets from milk produced in the summer from cows grazing in alpine meadows.