RFE/RL's Tajik Service correspondent in Moscow quotes local police as saying the four were living in a wooden wagon. Police say the incident appears to be the result of "carelessness." However, an investigation into possible other causes is under way.
This is the second such incident in the Russian capital in recent days.
On 7 February, nine Tajik labor migrants died in nearly identical circumstances in Moscow's Dolgoprudny district. It remains unclear what sparked that blaze.
Tajik President Imomali Rakhmonov has expressed his condolences to the families of those who died in the 7 February fire.