The strike followed an overnight Tuesday drone barrage on the regions of Zaporizhzhia and Kharkiv, which together killed one and injured at least seven others, according to officials.
The head of Kryvyi Rig's military administration, Oleksandr Vikul, said Russia attacked civilian infrastructure with a ballistic missile, sparking a large fire, and that a rescue operation was under way.
"As of now, it is known that four people's lives were unfortunately taken by this strike. All of them are civilians," Zelensky said on social media.
"The only way to stop this is to put enough pressure on Moscow, on the Russian system, so that they are forced to abandon war and terror," he added.
Eleven of the 17 injured remain in hospital, Dnipropetrovsk regional governor Sergiy Lysak wrote on his Telegram account.
An unverified social media video from the scene showed fire and smoke rising from a damaged industrial building, and debris lying around.
Russia's defence ministry said it intercepted and destroyed 23 Ukrainian drones overnight Wednesday, mostly over the Bryansk, Oryol and Kursk regions.
Russia and Ukraine have stepped up aerial attacks even as US President Donald Trump pushes Moscow and Kyiv to agree to a ceasefire after more than three years of costly fighting.
A 45-year-old man was killed when a Russian drone strike hit cars parked outside a house in Zaporizhzhia, the head of the region's military administration Ivan Federov said on Telegram early Wednesday.
In Kharkiv, five people were wounded in drone strikes, the head of the Kharkiv regional state administration Oleg Syniegubov said.
An AFP reporter saw firefighters hosing down a building in Kharkiv, where a blaze was raging and black smoke billowed from windows.
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