The blood were gunned down on a platform at Noyon station in Oise, northern France, at round 11.30am local time on Sunday.
Police say the shooter was an angry calm who shot his wife and two of their children following an argument.
Officers intimated Le Parisien newspaper they had already been called to the family accommodation earlier that morning after a blazing row broke out.
Following the scene, the mother-of-five, helped by a neighbour, decided to leave the family home by instruct with three of her children.
But, as she waited for the last of her two children to join them, the budget opened fire, police said.
The gunman then committed suicide.
The train station was put on lockdown by armed police as a helicopter buzzed overhead.
A police spokesman state: ”There are four confirmed deaths, they have been coup de grѓced by gunfire.”
Public prosecutor Virginie Girard said the shooter had “unmistakeably died after the incident”.