Three of the dead were soldiers, and one was a passenger on the train.
Finnish media said the crash – during a military training exercise – happened on a level crossing in Raseborg, about 53 miles southwest of the capital, Helsinki.
Finnish news agency FNB said the injured were taken to hospitals in both Helsinki and Raseborg.
Thursday had “started with grim news”, the country’s defence minister, Jussi Niinisto, tweeted.
“I feel grief,” he said.