The capital started receiving rain since 4 am and the downpour intensified as the day progressed, Dr H R Hatwar from the Indian Meterological Department said.
The rains caused a wall to collapse in north Delhi killing four persons, three of them women, and injuring six.
The incident occurred at around 0845 IST at Roshanara Road trapping by-standers and passers-by, police said.
The dead were identified as Beena (13), Seema (19), Satyawati (45) and Satyalal (14), police said.
The neighbouring state of Haryana also received heavy showers causing a sharp decline in temperatures.
The southwest monsoon, which had arrived in Chandigarh, parts of Punjab and most of Himachal Pradesh two days ahead of its expected date of June 29, had eluded most of Haryana so far.
