Four journalists were wounded in the deafening blast.
This is the first major attack on the media in Peshawar. The bombing follows a series of threats issued against publications as well as journalists by militants.
The suicide bomber struck shortly before a press conference was scheduled and 70 to 80 people were present in the club premises. The residences of the governor and the chief minister are located in the area.
Police tried to stop the attacker as he approached the Press Club gate. But he was able to trigger his explosives, killing four people, including police constable Riazuddin and accountant Mian Taj who worked at the club, Online news agency reported.
An unidentified woman was also among the dead.
"We have received four bodies and 17 injured," Zafar Iqbal, a doctor at the Lady Reading Hospital, told mediapersons.
Chief City Police Officer Liaquat Ali Khan said: "It was a suicide attack. The bomber wanted to enter the building. The police official at the gate stopped him and he blew himself up."
He said the suicide bomber was searched at the gate and the bomber blew himself up as soon as the security guard discovered he was wearing a suicide jacket.
An eyewitness said the suicide bomber appeared to be 17 or 18 years old.
Police officials said 8-10 kg explosives were used in the blast.
The massive explosion caused extensive damage. The guard room outside the gate along with three motorcycles parked inside the compound and a bus on the other side of the road were badly damaged. Almost all windows of the building were shattered.
Pakistan has witnessed a series of terror attacks, including massive bombings, since early October. More than 260 lives have been lost. The army is battling the Taliban, which has vowed retaliation.
The city witnessed this year's worst terror attack Oct 28 when an explosion in a crowded market killed 117 people and injured over 200.