The children were identified as Ajay, Nutun, Sachin and Bhupinder, all aged between seven to eight years, an official spokesman said here.
The four had gone missing last evening after they had left their houses for playing, villagers told the officials.
The four were found buried under the debris of the wall, which had collpased due to the recent rains.
Sub divisional Magistrate Nar Hari Bangar and District Development and Panchayat Officer Rajesh Khoth visited the area on behalf of district administration and consoled the families of the victims.
Chief Minister Bhupinder Singh Hooda sought the detail report from Deputy Commissioner Chander Shekhar about the incident.
He directed that all help be assured to the families of the victims.