An overnight attack targeted civilians in the town of Bangassou as well as a UN mission field office and "in the firefight, one peacekeeper of the Moroccan contingent died from gunshot injuries", the UN mission MINUSCA said in a statement.
It said the attackers were members of a wide coalition including the mainly Christian anti-Balaka group who "attacked civilian populations, targeting in particular Muslims", another sign of the continuing sectarian violence that has ravaged the country.
"At this time it is difficult to ascertain the humanitarian situation in Bangassou. However credible sources have confirmed an undetermined number of civilian casualties," the statement said.
Displaced people in the area have fled to the town's mosque, Catholic Church and the Doctors without Borders (MSF) hospital, it added.
More From This Section
The head of MINUSCA Parfait Onanga-Anyanga warned the militias that the authorities would be "relentless" in finding and arresting those responsible for the killings.
"The blood of peacekeepers and the blood of innocent Central Africans will not fall in vain in this country," he said.
UN officials said the bodies of the four Cambodian peacekeepers were badly mutilated, to the point of making identification difficult.
MINUSCA deployed 10,000 troops and 2,000 police to the CAR following bloody sectarian fighting that erupted after the 2013 overthrow of leader Francois Bozize.
Among Africa's poorest countries, the CAR descended into bloodshed pitting the anti-Balaka fighters against the mainly Muslim ex-Seleka rebels.
While calm has been restored to the capital Bangui, parts of the country remain under the sway of armed groups.