The Hindu practice, know as sati, is believed to have originated 700 years ago and is banned.
The four have been arrested in the state of Madhya Pradesh on murder charges. They are accused of aiding or abetting her suicide.
Police say another sati incident took place in the state earlier this month.
Self immolate
"We have information that Karua Devi committed sati in full public view," Inspector General of Police Swarn Singh told the Reuters news agency.
"Senior police officers have rushed to the village to collect more information."
The BBC's Faisal Mohammad Ali in the state capital, Bhopal, says that locals have told police that the woman - believed to be in her mid 90s - was taken to the pyre of her husband in full bridal gear, and it was lit by one of her sons.
It is not known whether they deny the murder charges.
Our correspondent says that there have been reports that Karua Devi expressed her desire to self-immolate after her husband's death, and was actively encouraged to do so by her sons and some villagers.
She is believed to have belonged to the upper-caste Hindu Rajput community, where acts of sati are reported to have continued even though the practice was banned in India during British rule.
People from several nearby areas flocked to the village where the incident happened, placing money and burning incense near the remains of the pyre.
Socially deprived
District police Chief Chanchal Shekhar had said that people have now been prevented from reaching the site, and police would not allow any more ceremonies.
Madhya Pradesh Chief Minister Shivraj Singh Chauhan said that there could be more arrests if a magisterial inquiry found that others were involved in the incident.
Officials say it is the second such incident to take place in the state within a month, although the widow in the first case was saved by members of her family.
Both incidents took place in the same socially deprived Bundelkhand region of Madhya Pradesh.
| We have information that Karua Devi committed
sati in full public view Inspector General of Police Swarn Singh |
Sati is a an ancient Hindu act of devotion which translates as "faithful wife".
In 1987 a young woman dressed in her bridal costume jumped on to her husband's cremation pyre watched by thousands of people.
Her death sparked a national outcry, and led to the government issuing a ban on the glorification of sati with a maximum sentence of seven years imprisonment and a fine of up to 30,000 rupees ($650).
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