A Kenyan aid worker was killed in the abduction.
The workers were with the independent humanitarian aid agency, the Norwegian Refugee Council.
Kenyan police say they are pursuing the attackers, who headed for the Somali border.
The four international workers were kidnapped after gunmen attacked a two-car convoy travelling through the sprawling refugee camp, said police official Philip Ndolo.
The camp hosts almost 500,000 Somali refugees. It is located in east-central Kenya, about 100 kilometres west of the Kenya-Somalia border.
Canadian Citizenship and Immigration Minister Jason Kenny said the government was aware there are reports of a kidnapping, but said he would not comment on specifics, citing the sensitive nature of the issue.
Rolk Vestik, a spokesman for the Norwegian Refugee Council, could not yet confirm details of the incident.
He said the refugee council's secretary general, Elisabeth Rasmusson, was in the camp during the attack, but she was safe and unharmed.