The dead included a father and his young daughter as well as their guide, local prosecutor Eric Bouillard said. One of those killed was yet to be identified.
A fifth person was still missing while two others belonging to the same group managed to escape, he added.
Bouillard said a group of 12 people plus their guide had been walking and canyoning along the Zoicu canyon in the region of Soccia, famous for its natural ravines and waterfalls, when some members were overwhelmed by a sudden rush of water on an abseiling descent