They died while trying to save property in morning blaze that affected over 2,000 traders.
According to police, the fire is believed to have started at around 4 am.
Preliminary investigations indicate an electric fault as the cause of the fire.
Fire fighters from Nairobi County Government arrived hours later as the fire spread fast and helped to control it.
The market is popular with among others foodstuffs and second hand clothes.
In June last year, the entire market was razed down in a tragic incident and there have been calls to find a solution to such incidents.
By Fred Odanga