Police then killed the assailant, who was armed with an assault rifle.
The shooting took place on Sunday evening in Kizlyar (pictured), a town of about 50,000 people on the border with Chechnya.
Worshippers were learning a traditional pre-Lent festival, Maslenitsa when the incident broke out, according to Russia media reports.
State news agency Tass cited mayor Alexander Shuvalov as saying four people were killed and four wounded.
St George's Church in Kizlyar, Dagestan
The motive for the shooting was not immediately known.
Dagestan is a predominantly Muslim region between Chechnya and the Caspian Sea.
Following two separatist wars in neighbouring Chechnya, an Islamist insurgency spread to Dagestan.
Reporting by Associated Press (received via the Press Association)
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