The police's involvement in the deaths of people during protests in Zamdela, Sasolburg, was being investigated, the Independent Police Investigative Directorate (IPID) said on Thursday.
"After receiving conflicting reports of deaths and injuries, the IPID sent investigators to establish the facts. Our investigators went to police stations as well as hospitals and clinics," spokesperson Moses Dlamini said in a statement.
Police shot at a group of protesters when they threw stones at the Zamdela police station on Tuesday. Windows were smashed and police cars were damaged.
Pule Thulo (35) died while he was being driven to the Metsimaholo Hospital. A second man in the car, Joseph Magwa (35) died at the hospital.
Dlamini said two cases of murder had been opened. No arrests had been made.
Two cases of attempted murder were also being investigated.
A 33-year-old man was being treated at the hospital after being shot and wounded.
Another person had been shot in the chest, allegedly by an off-duty police officer who was attacked at his home. He fired warning shots into the air and allegedly at the crowd.
On Thursday, Free State police confirmed four killings during the protests.
Colonel Motantsi Makhele said two protesters died during the shooting at the police station. The other two were allegedly shot by a shop owner and a motorist.
Makhele said police were awaiting post mortem reports and trying to determine whether they were killed during protest-related activity or unrelated criminal acts.
Residents started protesting on Sunday in opposition to the proposed merger, in 2016, of the Metsimaholo municipality in Sasolburg with the Ngwathe municipality, under which Parys falls.
Co-operative Governance and Traditional Affairs Minister Richard Baloyi announced on Tuesday that the merger would not immediately go ahead.
Late on Wednesday afternoon residents, of their own volition, began cleaning up the debris on the streets.