Police Col. Metha Singhasena said the insurgents stormed a shelter early Tuesday and tied up two men and two women. They forced them to show them where they kept their money before killing them.
Metha said the assailants took away 100,000 baht ($3,354) but spared the life of a local worker.
He said that the victims came from eastern Thailand to Krong Pinang district in southern Yala province to buy fruits from local farmers.
More than 5,000 people have been killed in Thailand's southernmost provinces since Islamist insurgency erupted in 2004.