Two of the four women self-immolated while one other was set on fire by her husband, they said.
Kaushalya Pawar (70), a resident of Barshinaka area here, succumbed to burn injuries after a candle fell on her last night, police said.
While at Katvatwadi village, Urmila Kaitake (21) allegedly set herself on fire this morning because her husband, Dnyaneshwar, suspected her character, police said.
At Rairi village of Georai tehsil, Jayshree Kailas Patekar allegedly set herself ablaze last evening as her father-in-law used "abusive language".
In the fourth incident, Sharda More was allegedly immolated by her husband Datta More at Talwada village of Georai tehsil last evening. The reason for the act was not yet known.