The incident took place at the Anganwadi centre operating in Nelia Upper Primary School campus at Suansia Sahi village under Ranpur police station area when children were in the class room.
Besides 11 children, three adults comprising a cook, one helper and mother of a child, were also inside the room, the wall of which caved in.
While three children identified as Somnath Kotala, Chinku Kandi, Sachi Ray died on the spot, Pinki Sahu succumbed to her injury at the Capital Hospital in Bhubaneswar, Nayagarh Superintendent of Police S D Mallick said.
The three children were taken to the government hospital at Ranpur where doctors declared them brought dead, said Chief District Medical Officer (CDMO) B Das adding the condition of two other children remained critical.
"The children were in the age group of three to five years," the SP said adding the wall caved in following heavy rainfall here last night.
Angry over the incident, hundreds of local people surrounded the police station at Ranpur and staged a road blockade demanding punishment to the persons responsible for the incident.
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Meanwhile, the state government announced Rs 1 lakh ex-gratia each for the family of the victims besides free treatment for the injured students.
"I have sought a report from the department secretary on the incident," School and Mass Education Minister Pratap Jena told reporters.