The cause of the blast on Sunday evening has yet to be determined but police say the incident is not being linked to terrorism.
"At this stage, there are four confirmed fatalities and four people remain in hospital, one with serious injuries," Leicestershire Police said in a statement.
Neighbours reported that their own homes shook with the force of the blast, which sparked a fire that engulfed the ground floor shop and two-storey flat above it.
"We believe there may be people who have not yet been accounted for and rescue efforts continue in order to locate any further casualties," Superintendent Shane O'Neill said.
Six fire crews are at the scene and emergency services will remain at the site throughout Monday.
Major roads in the area are closed and electricity to a number of homes nearby was affected, but no properties were evacuated overnight.
"Once the site is deemed to be safe a joint investigation with Leicestershire Fire and Rescue Service will begin looking into the circumstances surrounding the incident, which at this stage are not being linked to terrorism," O'Neill said.
Firefighters worked through the night to control the blaze, which broke out shortly after 7:00 pm (1900 GMT)on Sunday.
Pictures and videos posted on social media showed a property engulfed in flames, with rubble and debris scattered around.
"It was very scary," local resident Graeme Hudson told AFP.
"I live five minutes away... but my house shook. I went out and saw massive smoke and big flames."
Another witness, Tahir Khan, who was driving past when it happened, said: "I looked on the road and half the building was on the road.
"Literally the whole of the side of the building had been blown out. I couldn't believe it, it was like a Hollywood movie."
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