Deputy UN spokesman Farhan Haq said Christian "anti-balaka" militias ambushed the UN police patrol in the northwestern part of the city near the airport.
"The peacekeepers returned fire and four were wounded, three by grenade and one by gunfire," he said. "They are currently receiving medical care."
The nationalities of the wounded peacekeepers were not immediately known.
Bangui has been hit in recent days by a wave of deadly violence pitting Christians and Muslims that has left 15 dead, including a Pakistani soldier in the UN mission MINUSCA.
