The shooting occurred at about 9:30 p.m. at a store, which is near the Chicago's Altgeld Gardens neighborhood. The store sells groceries and cell phones.
The four people who were shot dead are all males: a 17-year-old, and three men ages 25, 30 and 46. The 46-year-old man is reportedly a father of five.
The Cook County Medical Examiner's office confirmed the fatalities but has not released their identities. The names of the victims are expected to be released Thursday afternoon.
Brandon Phillips, who sells cell phones at The Connect, told ABC7 he believes the four men killed may have all been his co-workers.
"They ran up there and shot them. They didn't try to rob them or nothing," Phillips said. "It's crazy. It's hard to believe, especially somebody you were just with yesterday. I was with them every day, you know?"
Phillips and customers say that one of the victims was an armed security guard whose white Cadillac they say has been parked in front of the crime scene since Wednesday night.
"I knew the people that worked there. Like I said, it is a sad situation where I don't want to elaborate too much, because I'm kind of shocked myself. This is a shock for me going to work. I need protection for myself," said Jamiel Kern, a customer.
The two people who were injured -- a 17-year-old boy and a 39-year-old woman -- were taken to area hospitals, treated and released.
"They treated me with the utmost respect, everyone around here. No one can say a bad thing about them at all under no circumstances," said Trina Brown, a customer.
Police say several weapons were involved and some were recovered at the scene. Several people are in custody. While they are all being held at Area 2, none have been charged as of Thursday afternoon.
Police are still investigating and have released no other details in the case.
There was no word on when the store will reopen.