It was the first deadly assault this year on government forces in Tunisia, where the police and the army have been hunting down jihadists blamed for a string of attacks on security forces.
"A group of 20 terrorists attacked a patrol of the National Guard," two kilometres from Kasserine, which lies at the foot of Mount Chaambi, said interior ministry spokesman Mohamed Ali Aroui.
The gunmen opened fire at a police car, killing the four policemen, and fled with their weapons, the spokesman said.
Aroui said the attackers were members of the Al-Qaeda-linked Okba Ibn Nafaa Brigade, the main Tunisian armed group active along the border with Algeria.
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"There will be a severe and violent response," he added.
The funerals of the four policemen were due to take place in the afternoon in their hometowns.
There was no immediate claim of responsibility for the assault, but a Twitter account close to Okba Ibn Nafaa praised the attack.
Okba Ibn Nafaa claimed responsibility for a July 2014 attack that killed 15 soldiers in the Chaambi region in what authorities said was one of the deadliest assaults in the army's history.
Tunisia has seen a rise in Islamist extremism since the 2011 revolution that ousted veteran strongman Zine El Abidine Ben Ali.
Dozens of police and military personnel have been killed or wounded in attacks blamed on Islamist militants around the Chaambi range, but also further north along the border with Algeria.