The interior ministry said in a statement that one suspect was shot dead after opening fire and injuring three officers who stopped the car in which he was travelling.
Three other suspects were then "liquidated" in a security operation in the southern town, the statement said.
Officials said the suspects were being hunted over the killing on Tuesday of two traffic policemen in what local authorities called a "brazen attack" by "radical Islamists".
Astrakhan lies several hundred kilometres northeast of the volatile North Caucasus, where Moscow is fighting a lingering Islamist insurgency.
While attacks against police regularly occur in Russia's Caucasus, they are much rarer in other regions.
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