The bomb exploded as the convoy travelled along the road near the airport in Mogadishu, police stated.
It was also gathered that a second blast targeted African Union (AU) troops about 25km (15 miles) from the city, but details are sketchy.
Al-Shabab, linked to al-Qaeda, has often carried out attacks in Somalia and neighbouring Kenya.
The United Nations and the British and Italian embassy compounds are based near Mogadishu's heavily fortified airport.
"The explosion was very big and there is smoke all around the area. I can hardly see people lying on the ground, either dead or wounded," a witness told AFP news agency.
Police said at least four people, including a Somali intelligence officer, were killed and about 10 others were wounded in the blast.
The UN has not reported any casualties among its staff.
Its security personnel were at the site, inspecting the wreckage, according to a source.
On the other hand, the explosion targeting AU troops took place in Lafole village, south of Mogadishu.
The AU has some 22,000 troops helping the weak and divided Somali government battle al-Shabab.
The UN has no troops in Somalia, and says it staff are involved in political activities aimed at helping the government achieve stability.