"Two explosions reported. First blast was from a 14-seater matatu (minibus), second blast within Gikomba Market. Four fatalities," NDOC said on its official Twitter handle.
Kenya has been rocked by a series of blasts since September's deadly attack on a luxury shopping mall by Somali militants. It was not immediately clear who carried out Friday's attack.
The US Embassy on Friday sent out a new travel alert warning of a continued terrorist threat in a country where the embassy suffered a devastating attack in 1998.
An earlier warning this week said for the first time that the embassy itself is taking new steps to increase security "due to recent threat information regarding the international community."
Britain's government also warned its citizens this week to avoid the coastal city of Mombasa and beach towns nearby, prompting a travel company to send home hundreds of British citizens from their beach vacations.
On Thursday Kenya's foreign ministry gave an angry response to the warnings.
"The advisories... are obviously unfriendly acts coming from our partners who have equally borne the brunt of global terrorism and no doubt understand the repercussions of terror," it said in a statement.
"Issuance of such travel advisories only plays to the whims of bad elements in society whose aim is to spread fear and panic," the statement added.
Sam Ikwaye of the Kenya Association of Hotelkeepers and Caterers, said the evacuations were a "huge blow".
According to the most recent figures from 2011, tourism directly or indirectly accounted for 14 percent of Kenya's economic output and roughly 12 percent of the workforce.
Security concerns have long been high in Kenya because of its proximity to Somalia.