A St John Ambulance spokeswoman said ambulance was called to the crash by police at about 2.15am.
Two ambulances attended and took all four occupants of the vehicle to the emergency department of Masterton Hospital.
One of the teenagers was trapped inside the vehicle and had to be cut out.
At the time of the crash, two of the teenagers were in critical condition, one had moderate injuries and one had minor injuries.
Two have since died as a result of their injuries.
The two teenagers who survived the crash are now in a stable condition, a Masterton Hospital spokeswoman said.
All occupants of the vehicle are believed to be from Wairarapa and are aged in their mid teens.
A fire service spokeswoman confirmed one fire engine attended the crash.
A Wellington District Serious Crash Investigator attended the scene of the crash and investigations are ongoing.
Masterton mayor Lyn Patterson said she extended condolences to the families on behalf of the community. "The loss of two young lives is a tragedy," she said. "That's really all I can say at this time."
READ MORE: Brian Rudman: Police chases a trigger for tragedy
Labour's police spokesman Stuart Nash does not think police pursuit policies need to be reviewed. "Every time this happens there are calls for police to review their pursuit policies," he said.
"It might sound like I'm being callous but I don't think there needs to be a big overhaul [of the policies].
"This morning's crash was an absolute tragedy. "It will be investigated but I think it will be found that police did everything they could have - pursued when they needed to; pulled out when it seemed like it was going to become dangerous.
"The bottom line was some people still thought they could break the law and get away with it, he said. "In both cases, the teens have put their foot down...
"If police indicate to pull over, even in a stolen vehicle, it's going to be a lot worse if you don't, because when police catch up with you, you'll then also get charged with fleeing police; or in a small number of cases, it will end in tragedy."
Mr Nash said there could perhaps be a new campaign encouraging people to pull over when indicated to but he was unsure how effective it would be.
'The last thing police want is a pursuit to end in tragedy'
New Zealand Police Association president Greg O'Connor said pursuit policies were continuously reviewed here and overseas.
"The absolute last thing police want is for a pursuit to end in tragedy," he said.
"In this morning's crash it appears police pulled out of the pursuit very quickly when it looked like it could become dangerous.
"That is the recommended thing to do to lessen the chance of incident."
Mr O'Connor said it was difficult to get the message across that stopping for police was always the best thing to do.
"A group of teens driving around at 2am in a stolen vehicle ... You wonder what messages they're listening to.
"Tragedies like this can sometimes be the best way to get through to people."
The man in charge of road policing is pleading with teen drivers to pull over when they're asked to.
16-year-old girl Eden Nathan died and a 15-year-old girl was seriously injured in South Auckland last week after another brief chase.
Superintendent Steve Greally said both incidents had led to the needless deaths of young people, who had a future.
The danger of a chase was just not worth the potentially disastrous consequences, when it could all come down to a licence issue or something else very minor.
Mr Greally said when you weighed it up against death, everything was minor.
Nationwide, about 2000 drivers are caught fleeing police each year.
New Zealand Police Association president Greg O'Connor has said there is no right answer for dealing with fleeing drivers.
"Those numbers only include drivers that were caught.
"There's a lot more drivers that have got away who will do it again because they think they can get away with it.
"It's an issue police forces and governments around the world are grappling with."
Most incidents which ended in an accident happened within 30 or 40 seconds.