The four travelled with three other family members who were injured to Bangkok.
Their family in Malaysia has been informed of the deaths of their four members.
Businessman Visen Lim Gim Seong, 46, a close friend of the family, said they were supposed to return on Tuesday.
He said he has known the family for more 10 years and that they his neighbours.
“They left for Bangkok last Saturday by train and was supposed to return this morning,” said Lim, shedding tears as he spoke to reporters outside the family’s home in Taman Dedap.
Lim added that it was not uncommon for the family to travel together and they had done so many times in the past.
The other remaining family members were distraught and refused to speak to reporters.