The attack happened at a police outpost in Gereshk district, Helmand province, local police chief Mohammad Toryali said.
Mr Toryali said the officers were killed by five colleagues who had arrived as reinforcements.
This year has seen a sharp rise in insider attacks in Afghanistan against local forces and Nato troops.
Military commanders refer to such rogue attacks as “green-on green” or “green-on-blue” – green for Afghan forces and blue for the Nato coalition.
“Four policemen were killed by gunshots by their five colleagues in a police checkpoint last night,” Mr Toryali told AFP news agency.
He said the five attackers had been sent as reinforcements against a possible Taliban attack, but instead opened fire on their colleagues.
All nine were new recruits to the police force, Mr Toryali said.
The attackers fled after the killing, he added.
No group has said it carried out the attack, but correspondents say similar incidents have been blamed on Taliban insurgents who have infiltrated Afghan security forces.
Helmand police chief Abdul Nabi Elham said an investigation had been launched.
He said it was not clear if there had been a “verbal dispute” between the two sides or if Taliban infiltrators were to blame.