The family were in a green Mini Cooper when the accident happened on the A82 by Hillfarm, Torlundy at about 5.30pm yesterday.
Police Scotland has confirmed the mother was aged 26 and the father 25-years-old.
A 56-year-old female driver of a Ford Fiesta was pulled from the wreckage by firefighters and taken to hospital in Fort William.
She has serious, but not life-threatening injuries.
Officers said those involved were all local to The Highlands.
Specially trained officers are supporting the victims relatives at this difficult time.
The A82 was closed for about 11 hours while officers carried out investigations. Diversions were put in place directing motorists along the A86, A889, A9 and A85.
Superintendent Simon Bradshaw, of Police Scotland Road Policing, said: "Emergency services were made aware of a road traffic collision involving two vehicles on the A82 near Torlundy around 5.30pm on Thursday, 20 February, 2020.
"I can sadly confirm that four people have died - a female driver, 26, a male front seat passenger, 25, and two children - both girls aged three and one. All four were travelling in a green Mini Cooper.
"Further details will be confirmed in due course but I can confirm that they were a family. Specialist officers have been deployed to provide support to their relatives at this extremely difficult time.
"The other vehicle involved was a red Ford Fiesta car. The 56-year-old woman who was driving suffered serious but non-life threatening injuries and was taken to the Belford Hospital in Fort William for treatment.
"The scene faced by our police officers and emergency partners from the Scottish Fire and Rescue Service and Scottish Ambulance Service was extremely challenging and I would take this opportunity to thank everyone involved for their efforts in the face of such a distressing incident.
"Every loss of life on our roads is a tragedy but the impact on families, friends and entire communities after an incident like this cannot be underestimated. Our thoughts are with everyone who has been involved or affected.
"An investigation is ongoing to establish the full circumstances leading to this tragedy and it would be wrong for me to speculate on the cause at this time.
"However, I would ask that anyone who was in the area last night, who may have seen either vehicle involved before the collision or who may have dashcam footage to please contact police 101, quoting incident 2942 of 20 February."
Kate Forbes, MSP for Skye, Lochaber and Badenoch, tweeted: "This is extremely sad news. Thinking of the families and friends who are dealing with the shock of all of this."
Local councillor Andrew Baxter said: "It's appalling to hear of any fatality on our roads. It is even more so to hear of this dreadful tragedy and that it seems to have affected a young family."From the reaction that I've seen on social media and by talking to local residents, I know there is widespread shock and disbelief across Lochaber, with people thinking about those who have lost their lives, as well as the friends and family of those affected."