The mishap took place yesterday when the victims were digging clay from Chandawara mine in Dinara area, they said.
The deceased were identified as Roshni (14), Sheela (25), Suman Jatav (35) and Meera Bai Jatav (40), they said, adding that another woman who sustained injuries in the mishap was admitted to a hospital for treatment.
A case has been registered and further investigations are on, police said.