Shots were fired between two groups of Afghans at about 6.00pm, officials announced.
The shootout was probably the result of a dispute between people smugglers, a police source to the Reuters news agency.
Three of those wounded were taken to a hospital in Calais, a fourth, who was more seriously injured in the abdomen, was taken to the larger city of Lille, while another received medical attention at the scene.
A large number of police were deployed to try to find the perpetrators.
Car charges police roadblock
At about 8.15pm a car carrying nine migrants - six Iraqis and three Afghans - tried to force its way through a police roadblock on an industrial estate near the Calais ringroad.
A member of the CRS riot police was hit and slightly injured in the knee and his colleagues fired on the vehicle, succeeding in stopping it, police union sources said.
Although the authorities think that some of the passengers were people smugglers, they do not believe there was any connection with the earlier shootout.
Officials say that about 500 migrants - mostly Eritreans, Ethiopians and Afghans - are currently in Calais, hoping to go to Britain.NGOs put the figure at 700.
The "Jungle" camp, where thousands of migrants were camping, was cleared earlier this year.