The incident took place last night at Katupada village when Thakura Mahanta (45) locked his wives Saraswati and Parvati alongwith the infants Jahna and Sana in a room from outside and set it on fire.
Mahanta married Saraswati few years ago but as the couple had no children, he had married Saraswati's younger sister Parvati who was blessed with two girls.
But Mahanta frequently used to quarrel with his first wife over petty matters, police said.
The bodies were sent for postmortem and Mahanta has been arrested, they said.