Detectives said George Muchai, a member of Kenyan's governing Jubilee coalition, was returning home after meeting family members in a restaurant when the attack took place in Nairobi's city centre.
"The MP was coming from a family meeting in Westlands and was headed home," a police officer said, adding the MP's car had slowed down at a roundabout when another car rammed it from the side.
"Masked gunmen emerged and opened fire at them, killing all of them at once. They also stole a briefcase and two pistols from the bodyguards," the officer said.
"Our medics who responded to the early morning cold-blooded murder found no signs of life in all the four," said Fred Majiwa, a spokesman for St John Ambulance.
A senior police officer said the killing may have been an execution-style hit.
"It is something we can't rule out at all. It seems to us like something that was well planned," said the officer, who asked not to be named.
