Harrogate-based response officers and Roads Policing Group officers "acting on intelligence" stopped the white BMW near Boroughbridge on Tuesday.
They found a large quantity of clothes and other items - some still with tags on and no receipts.
One of the women is just 16, two are 33 and the fourth is 44. They were all arrested on suspicion of shop theft.
One of the 33-year-olds was also arrested on suspicion of obstructing a police office, driving without a licence and driving without insurance.
The other 33-year-old woman was further arrested on suspicion of obstructing a police officer and permitting the use of a vehicle with no insurance.
The BMW was recovered, and officers will be making enquiries today to identify where the suspected stolen items may have come from.
The four women have been released under investigation as enquiries continue.