El Paso County Deputy Micah Flick, 34, was killed while he and other officers were investigating a stolen vehicle in Colorado Springs, about 110 kilometers south of Denver, authorities said.
Colorado Springs Police Chief Pete Carey said the officers were struggling with the male suspect when shots were fired.
Two other deputies, a Colorado Springs police officer and a bystander were also shot, authorities said. All were hospitalised, but the extent of their injuries wasn't immediately released.
Sheriff Bill Elder said Flick, who was killed on his 11th anniversary with the department, is survived by his wife and 7-year-old twins.
"Deputy Flick was an outstanding member of my agency and he will be missed," Elder said.
Carey said it was a tough day for all law-enforcement agencies.
"Tonight there is no distinction between our uniforms. State Patrol, sheriff's office and the Colorado Springs Police Department, our hearts are all broken," he said.
Colorado Gov. John Hickenlooper said the deadly violence against officers is having a grave impact on the state.
Adams County Deputy Heath Gumm was killed January 24 and Douglas County sheriff's Deputy Zackari Parrish was killed on New Year's Eve.
Gumm, 31, was shot while chasing a suspect. Parrish, 29, was shot in suburban Denver by a man with a history of mental health issues.
Television coverage showed dozens of emergency vehicles responding to the scene.
A police command post remained on the scene hours after the shooting, along with about a dozen police cars and multiple officers.
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