The fire broke out at around 1.30 AM on the ground floor of the double-storey house, located at Akbar Chowk in Panchkandil market area here, he said.
The smoke soon engulfed the premises, blocking the single door for entry and exit from the place, Dhule's Assistant Fire Officer Tushar Dake said.
The victims were sleeping when the blaze gutted their house, he said.
They were suffocated to death as they got trapped inside and could not come out of the premises, he said.
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The deceased were identified as Ram Sharma (45), who was a priest at a temple in the same area, his mother Shobha (62), wife Jayshree (35), and two children Sairam (12) Radhe Ram (10), he said.
Dake said had they got the call about the fire a little earlier, they could have saved the victims.
Since the market was deserted when the incident took place, no one apparently heard the victims' cries for help, he said.