A 51-year-old woman survived the blaze by diving into the water, but her sister, husband, and brother-in-law did not survive.
The survivor, who is recovering in hospital, was said to be in good condition but suffering from shock.
The victims were trapped in the cabin of the yacht after the fire broke out and fire fighters were unable to reach them.
The boat was moored at Loano in the region of Liguria.
The cause of the blaze has not yet been confirmed. (Euronews)