Three of the bodies with their heads smashed were found lying near a hotel and a temple on the Ahmednagar-Manmad road, while the fourth body was found hanging from a tree opposite the government rest house. The deceased were in the age group of 50-55 years, they said.
Apart from the four bodies, an injured man was found lying in an unconscious state at the Shirdi railway station and was admitted to hospital, they said.
Police suspect a "serial killer" or a "psychopath" behind the killings.
Two bodies, of an aged man and a woman, were found about a fortnight back at the Shirdi railway station and the method of killing appeared to be similar as their heads had also been smashed.
A similar case of serial killing was reported in Kolhapur city last month.
Meanwhile, the Shirdi police have also released a sketch of the suspected killer and a case has been registered.
Earlier, police had detained a person in connection with the killing of two persons at the railway station, but let him off as they could not establish his role in the crime.