Besides setting the police station ablaze, the angry protesters also staged a huge jail break, freeing some 100 prisoners from an adjacent prison.
"Four neighbourhood civilians were killed in the shootout," Buteur Metayer, a leader of the opposition Revolutionary Artibonite Resistance Front (RARF) said.
Another 20 people were shot and injured, he said, but there was no immediate official confirmation.
The protesters also torched the home of the city's mayor.
"Gonaives is free, the stores can open but the schools must remain closed," another RARF leader said.
At least 50 police officers were in the station at the time of the attack. But witnesses said they gave up without resistance, walking out of the police station with their hands in the air.
The attack came amid continuing street protests against Haitian President Jean Bertrand Aristide.
His opponents want him to quit, but Aristide maintains he will leave only on 7 February 2006 when his term ends.
Gonaives, a coastal city, has been the focus of sporadic anti-Aristide violence since last September and some 50 people have since been shot dead and 100 wounded.