People were sent home by police after they were spotted paragliding off Nash Point in the Vale of Glamorgan.
The four – who had travelled from Monmouthshire, Gloucestershire, Hertfordshire and Cambridgeshire respectively – were reported for summons before being told to return home.
They are the latest in a long line of people stopped in Wales by police for ignoring the lockdown rules that were introduced in March a bid to stop the spread of coronavirus.
Other incidents include a key NHS worker and their family who had travelled 200 miles to Saundersfoot for a beach stroll and a driver on a 600-mile round trip from Scotland to pick up a second hand BMW.
South Wales Police have today reiterated the message: "Stay Home, Protect the NHS and Save Lives".
While Prime Minister Boris Johnson announced on Sunday new measures for England, including people being able to travel for exercise, the rules in Wales remain mainly the same as before.
SWP Assistant Chief Constable, Andy Valentine, said: “While some very minor amendments to the Welsh legislation came in to force on Monday, the message to our communities remains consistent.
“The vast majority of people have followed the guidance to Stay Home, Protect the NHS and Save Lives, and I echo the plea of colleagues in Welsh Government and the health service for everyone to continue doing so.
"Travelling into Wales for exercise or without a reasonable excuse is not permitted, and I appeal for the support of people living in England. By respecting the restrictions that are in place in Wales, they will help keep communities in both nations safe from coronavirus.”
Watch our video about the Welsh border town where lockdown rules are making life complicated
Alun Michael, Police & Crime Commissioner for South Wales, added: “I want to make it crystal clear that here in Wales it is only Welsh Government legislation and guidance that applies, and I’d urge people not to get caught up with the changes being made outside of Wales.
“The message here has not changed; while there has been some very minor relaxation of the rules, the advice in Wales is to continue to Stay Home, Protect the NHS and Save Lives."
