Two died as demonstrators surged towards the US consulate in Herat city while two more were killed in Adraskan district, provincial spokesman Moheedin Noori told AFP.
"In Herat city we have one civilian protester and one military person killed," he said.
A security official earlier told AFP that two demonstrators had been killed in a bid to storm the US consulate.
"Some demonstrators tried to grab the cops' guns -- there was shooting and two of the demonstrators were killed," he told AFP on condition of anonymity.
A spokesman for the US embassy in Kabul said they were "aware that there are demonstrations in the vicinity of the consulate".
Friday's deaths bring to at least 19 the number of people killed during four days of violent anti-US protests over the burning of Quran at the US airbase of Bagram, north of the capital.