According to police, the occupants of the car were all residents of the district's Rajgarh subdivision.
Their vehicle rolled nearly 130-ft down into a gorge on the Bogdhar-Nohra Dhar road.
"Three of the victims, identified as Praveen, Sanjiv and Mukesh, died on the spot while a critically injured Vinod succumbed to his injuries on the way to the hospital," said DSP headquarters, Khajana Ram.
The condition of the injured Vipin Kumar is stable, police added.