The suspected armed bandits opened fire at a village hall, where residents gather at night to watch films.
The cinema-goers panicked, many escaped with multiple gunshot wounds or broken bones, according to witnesses.
Amnesty International has warned about the escalating violence in the area.
It is not clear why the cinema was targeted, but villages in Zamfara State have come under heavy attack from armed bandits in recent months.
Witnesses say the attackers arrived in the village of Badarawa on foot on 12 September before heading to the hall, known as a viewing centre.
Hospital sources says some of the victims' injuries are life-threatening, while the dead have already been buried.
The police say security personnel have been deployed to track down the assailants.
Nearly 400 people have been killed in the state this year amid an increase in robbery, killings, and kidnappings for ransom, according to the rights group Amnesty.