Sanju Nayak (30) and his wife Bholi (25) consumed poison last night after administering it to their daughters Laxmi (7) and Nikita (3).
Nayak and his daughters died in a hospital, however, his wife is stated to be in serious condition at SMS hospital here, police said.
Nayak had borrowed money from one Gaurishankar Khateek and was unable to pay the debt, they said, adding that the lender was pressuring him to pay the money.
Today, when the incident came to light, locals blocked Ajmer-Jaipur highway near Bagru area and also burnt some documents in a municipality office.
The highway was later cleared and four persons including the money lender have been arrested, the police said.