The incident occurred when a wheel of the speeding SUV in which they were travelling, burst, throwing the vehicle out of control, police said.
The vehicle after striking safety guards, and then the divider, overturned on the other side of the road this afternoon at milestone number 79 on the highway, they said.
"The deceased have been identified as Anamika (45) wife of one Rupendra Dutta, her daughters -- Pipasa (15) and Neetika (12), son Tirvijai (20) and her sister Sonia (25)," police said.
"While Tirvijai died in a Mathura hospital, the other four persons died on the spot," police said.
After the accident, the villagers of nearby Lamtori village falling under Surir Police Station rushed the spot for help before police arrived on the scene.
"He (Dutta) was on picnic to Agra with his wife, two daughters, son, sister-in-law and father-in-law, when the tragic incident took place", Kumar said.