The explosion killed two policemen and two revellers at a concert to celebrate Makha Bhucha Day at a pagoda in Maha Sarakham province, local district police chief Kritchai Sreumsri told AFP.
He said police officers responding to a fight near the celebrations were chasing a man who was apparently carrying a homemade device when it exploded.
More than 20 people, including the man being chased, were injured in the blast at the town of Nadoon.
Makha Bhucha Day honours the teachings of Lord Buddha on the full moon day.