A 7-year-old child was also hurt in that blast.
Police cordoned off the area, erecting metal barriers to find the fourth suspect.
But he appeared to have deliberately targeted the police, injuring five of them and 14 other people, a policeman at the scene said.
"He sneaked through the police cordon and then elbowed his way through a crowd of onlookers and journalists to move close to a cluster of policemen where he blew himself up," the policeman said.
Al Jazeera has learnt that Moroccan police were pursuing the men on suspicion of involvement in a suicide attack on an internet cafe on March 11.
A man carrying explosives was killed in that attack. An accomplice and three customers in the cafe were also injured.
Thirty-one people have been arrested since the March 11 attack.
Police sources said they believed the suspects had started wearing explosives belts all the time to prevent security forces from taking them alive.
Investigations into the internet cafe blast led police to suspected plots to attack ships in Casablanca's port, police stations and tourist sites in Morocco.
An interior ministry official told The Associated Press news agency that the two men killed in the dawn raid were also being sought in connection with suicide bombings in the city in 2003 which left 45 people dead.