The two men and two women climbers were among a party of six on Bidean Nam Bian, a Munro in Glencoe.
It is believed they were descending from a peak on the south side of the valley when the snow-covered slope they were crossing broke away.
One man escaped using his ice axe but a 24-year-old woman from the Durham area is in a critical condition.
Andy Nelson, deputy head of Glencoe Mountain Rescue, said being caught in an avalanche was "a brutal experience".
Mr Nelson, who co-ordinated the rescue, said: "Being in an avalanche is literally like standing on a carpet and having it pulled out from underneath you. Any thoughts of trying to swim out from out of it is futile.
"You are on steep ground, essentially standing on a raft of snow that is sliding downhill at speeds of maybe 40mph to 50mph.
"It would have unfolded in a split second, they would have felt the snow moving and then they would have been travelling at a speed that was impossible to stop.
"The man that survived was standing above the snow and we think he actually jumped and got his ice axe into firmer snow.
"They slid over some very rocky ground and ended up about 1,000 feet below, under between 1.5 and two metres of snow.
"It's a brutal experience. There are enormous forces at work and you are being twisted about at high speed."
Prayers were said today for the four. The Rev Moira Herkes, who led a service at St Munda's Church in nearby Ballachulish, told the congregation: "We include in our prayers thoughts for the deceased in yesterday's tragic accident on the mountain and their families.
"Somehow life must continue. We accept the challenges of nature as part of our living."
She added: "We also pray for the people who are injured, both physically and emotionally.
"And we give our thanks to those prepared to risk their lives in the saving of others, and do so with a sense of commitment and through thinking beyond themselves."
Glencoe and Lochaber mountain rescue teams and police were scrambled and following a major search two men and two women were found dead, buried beneath the snow.
Another man who stayed with the teams to help the search survived, while a woman is in Belford hospital in Fort William with serious head injuries. The four dead climbers have yet to be named.
Scotland's First Minister Alex Salmond has called it "an appalling tragedy", saying "to lose four people from a party of six is truly devastating".
He thanked the police and mountain rescue teams, adding: "Our immediate thoughts and prayers are with the families of those who have been lost."
Police are expected to interview the surviving man today to find out exactly what happened during the tragedy.
The injured woman has been moved to the Southern General in Glasgow and remains in a critical condition, Northern Constabulary said. Members of her family are with her.
The next of kin of those who died have been told and their names are expected to be released later, it added.
Superintendent Philip MacRae said: "Our thoughts are with the families and all those who are affected by this tragic incident. Members of the climbing party were from different parts of the UK and a priority for us has been to trace and inform all next of kin. They have now been informed and we have family liaison officers in place.
"I would like to express my thanks to the members of the Glencoe and Lochaber Mountain Rescue teams who assisted with the emergency phase of this incident. I am grateful for their expertise and rapid response."
Jonathan Hart, chairman of the Mountain Rescue Committee of Scotland, said: "This was a tragic event and I speak on behalf of all the mountain rescue team members involved when I say our hearts go out to the casualties and the families of all those involved.
"People come from all over the UK and the world to experience and enjoy the mountain scenery and sports in this part of Scotland. Mountain rescue teams train for these kind of incidents and indeed there was a national Scottish Mountain Rescue course on this weekend on Avalanche Rescue, taking place in the Nevis range.
"The Glencoe and Lochaber Mountain Rescue team members and instructors on the course attended the rescue which was coordinated by police and led on the scene by Glencoe Mountain Rescue Team who were assisted by search and rescue dogs.
"We are grateful to Royal Navy Rescue 177 who transferred rescue team members from the valley floor to the locus of the avalanche. This enabled a very rapid response to the incident in terms of locating all the casualties.
"Everything possible was done, as part of an outstanding multi-agency response, to increase the opportunities for survival of the casualties and take them off the mountain before the hours of darkness. It is very sad that there has been such a tragic outcome."
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