The youths, whose ages were not given, were met with "stern words of wisdom" in the incident on Bank Holiday Monday.
Police and traffic officers attended the scene at the M1 near Barnsley in South Yorkshire.
In a tweet, National Highways Yorkshire said: "If there is one message we would like to firmly get across today it's a #RoadSafety message.
"The motorway is no place to make #TikTok videos. #TrafficOfficers & @syptweet removed FOUR children to safety away from our network with some stern words of wisdom. #NoPlayground."
A Highways England spokesman said it is believed the teenagers were making a social media video, possibly for TikTok or Snapchat.
Russel Asquith, regional operations team manager, for National Highways in the North East said: "The last thing we want is a tragedy because someone has decided to walk across or near to the motorway network.
"As well as being dangerous it is illegal for any pedestrian to be on any part of the motorway network, including slip roads, roundabouts and of course the main carriageways.
"Incidents on the motorway network involving pedestrians who have no reason to be there in the first place are not only tragic but also cause distress to our officers and the emergency services - and hours of delays for legitimate motorway users."
South Yorkshire Police has been contacted for more details.