The murders, at Bhadli village in the district, came to light this morning.
Pradeep Suraj Bhole (47), a farmer, his wife Sangita (40), children Divya (7 years) and Chetan (5 years) were found dead at home with deep injuries on head and elsewhere on the body, apparently made by sharp weapons.
Door of the house was open. Neighbours went in when there was no response to calls and saw the bodies lying in pools of blood, police said.
The killings may be the result of personal enmity, but the police were looking at all angles, he said.
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