The insurgents stormed a shelter in Yala province's Krong Pinang district Tuesday morning and tied up the four merchants—two men and two women. They forced one of the men to show them where the money was kept before killing them, Police Col. Metha Singhasena said.
Metha said the assailants took away 100,000 baht ($3,354) but spared the life of a local worker.
He said the victims came from Rayong province in eastern Thailand to buy fruit from farmers in the south.
More than 5,000 people have been killed in the Muslim-dominated southernmost provinces of Thailand since an insurgency flared in 2004.
In a separate development, authorities arrested a suspect wanted in connection with the bombing of a high-rise hotel in southern Thailand last year that killed three people and wounded more than 200.
Col. Komkrit Ratanachaya said nearly 100 officers raided a house in Songkhla province on Tuesday and arrested the 36-year-old suspect, Jema Wani, who was believed to have taken part in the deadly attack in the province's Hat Yai city last March.
He said authorities were still looking for eight other suspects in the attack.
The explosion was part of the most deadly coordinated attacks in years in Thailand's restive
Jema was also wanted in connection with other cases, including the shooting of a teacher and school arsons.
The insurgents have made no public pronouncements but are thought to be fighting for an independent Muslim state. The area used to be an Islamic sultanate until it was annexed by Thailand in the early 20th century.
Muslims in Yala, Pattani, Narathiwat and part of Songkhla have long complained of discrimination by Buddhist-dominated central government.