On their official Twitter account, police confirmed that two males and two females had died in a murder-suicide incident at a business five minutes south of the city centre.
The victims were reported to be the gunman and three victims.
A single ambulance was parked outside the building as hundreds of people gathered nearby to see what was going on.
The business is in an area where many Hispanics have relocated in recent years. The street is lined with antique shops, kitsch stores and other outlets.
St Louis police said an argument inside a business had escalated into violence, with a man shooting three other people before turning the gun on himself.
Police Captain Michael Sack said the shooting happened in a building that houses multiple businesses. The victims' names have not been released but Mr Sack said they appeared to be in their early 40s to mid 50s in age.
He said the three victims worked in the building but he did not have any other details about them. An employee of another business heard gunshots and called police.