Two of the Palestinians were shot dead during clashes along the frontier while two fighters from Hamas, were killed in an air strike, the health ministry in Gaza said.
The Israeli army said the air strike was in retaliation for the shooting incident on the border that left its soldiers wounded.
Israel says hits Hamas site after arson balloons
Hamas confirmed two of the dead were members of its military wing and pledged to respond to what it called an "Israeli aggression".
The Israeli military said it had hit a base belonging to Hamas after shots were fired at its forces along the border.
The Israeli army said "one soldier was moderately injured, and another soldier was lightly injured" when they came under fire during renewed protests.
An army spokesperson said around 5,200 Palestinians had taken part in the demonstrations throughout the day.
Israel destroys home of Palestinian accused of killing two Israelis
Palestinians have participated in often violent demonstrations along the Gaza border for more than a year, calling on Israel to ease its crippling blockade of the enclave.
At least 269 Palestinians have been killed by Israeli fire since the protests began in March 2018, the majority along the border.
Two Israeli soldiers have been killed in that period.
Israel accuses Hamas of using the protests as cover to carry out attacks.
Hamas and Israel have fought three wars since 2008.
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