The incident took place in Sarandi village under Tiroda taluka when one of the persons, identified as Khemraj Sathvane, went inside the well situated in his house to repair a motor pump, a senior police official said.
However, he soon started having breathing problem, became unconscious and fell into the well, the official said.
His brother called two other persons from their neighbourhood for help and the three of them also went inside the well.
All the four persons died, the official said.
Prima facie, the cause of deaths seems to be inhalation of carbon dioxide which got accumulated inside the well, but the exact cause will be known after postmortem, he said.
The deceased have been identified as Khemraj Sathvane (50), Prakash Bhongade (50), Sachin Bhongade (28) and Mahendra Raut (28), the police said.
(With PTI inputs)