At least 20 people are believed to be still trapped underground at the Gloria coal mine near the town of Middelburg in the eastern province of Mpumalanga after entering the shafts to try to steal cables.
It added that the group went underground to steal copper cables in the mine, which has been closed for several months.
Police said the group went into the mine between Sunday and Wednesday, and that rescue efforts were being hampered by unsafe conditions and a lack of ventilation.
The body of one person who died was taken out on Wednesday and the other four bodies were recovered on Thursday.
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