The deceased are identified as Appasaheb Harawane (50), a retired Army personnel, his wife Sunanda (45), their daughter Snehal (21) and son Makarand (14), district superintendent of police Ranjankumar Sharma said.
According to sources in local police, the bodies bore multiple stab wounds.
Appasaheb was working in the Land Records department in Shevgaon.
The incident came to light when neighbours of Harawanes entered the house after they found it unusual to not spot any member of the family outside till 10 am.
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Bodies were sent for postmortem at the government hospital, he added.
Police have registered a case and further investigation is on.
A spontaneous bandh was observed in the village today as a tribute to the deceased.
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