The victim, 20, was found at a house in Crawley after paramedics were called about 03:00 BST.
He was found in Spencers Road, having sustained stab wound to the abdomen, and died a shortly afterwards in hospital.
Two men aged 24 and 22 and two 20-year-old men, all from Crawley, were detained and are in custody.
A police guard has been set up in Spencers Road and officers are speaking to residents in the area following the death of the man, who came from Mayfield.
Four people have been arrested on suspicion of murder after a man was found with serious injuries.