The incident took place when locals clashed with police Thursday during a protest over the recent killing of a teacher by an elephant.
The protesters burned tires and blocked a busy road linking the capital Nairobi with the busy port city of Mombasa.
Kajiado County Governor Joseph Ole Lenku said police shot at the demonstrators in the Rift Valley town of Masimba, 170 kilometers (105 miles) south of Naitobi.
"Two of the victims of the gunshots are in critical condition," Lenku, a former interior minister, said in a statement.
Lenku described Thursday's deaths as "unfortunate" and vowed a full investigation.
"These deaths could have been avoided with a little more understanding that the local communities are getting frustrated by the loss of human lives to wildlife," he said in an earlier statement.
Reports of wildlife straying into human habitats in Kenya have increased in recent years as the animals come under increasing contact with cities expanding into ancient migration and hunting grounds.
Kenya police watchdog "Independent Policing Oversight Authority" (IPOA), announced a probe into the deaths, saying it had dispatched a rapid response team to interview the survivors and seek ballistic examination reports.
The IPOA, established by parliament in 2011 to provide civilian police oversight, said "On completion of the investigations, where fault is found, the authority shall make recommendations, including but not limited to prosecution."
