The attack took place yesterday afternoon in the Raman district of Thailand's Yala province, local police said.
More than 6,300 people, the majority of them civilians, have died in over a decade of conflict pitting troops and police against rebels seeking greater autonomy for the Muslim-majority provinces bordering Malaysia.
"They (the soldiers) were on the way back to barracks after a friendly football match with local residents at the district office," Lieutenant Colonel Chanwut Raksapram, Raman's deputy police commander, told AFP by telephone.
"All of them were killed at the attack site and the gunmen took all of their four guns," he said.
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Images carried by local media showed the soldiers' bloodstained corpses lying on the road next to a black car riddled with bullet holes, which the victims had been travelling in on their way back from the government office.
It is not uncommon for militants to seize weapons from dead soldiers in attacks since they have limited access to weaponry.
The estimated 60,000 troops and police stationed in the three southern provinces of Yala, Pattani and Narathiwat face near-daily roadside bomb attacks and ambushes from shadowy rebel groups.
While they are frequently the target of attacks, security forces also stand accused of widespread human rights abuses of the southern population.
Those include killings of civilians in raids on suspected militant hideouts as well as stifling the distinctive local culture through clumsy - and often forced - assimilation schemes.
Thailand's junta, which took over in a coup a year ago, has vowed to reboot a stalled peace process with several rebel groups operating in the deep south but so far there has been little progress.
In a separate attack yesterday in neighbouring Pattani province, eight soldiers were lightly wounded in a car bomb attack, local police said.