The children were between 10 and 14 years old and police said they did leave a note for their parents, CNN reported.
A driver must be at least 17 years old to apply for a license, The Associated Press reported.
Police believe the four children switched off driving during the trip that lasted 578 miles.
The children were not related, ABC News reported.
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"It's a pretty big journey. It's a long way for a person to do it, but I suppose a couple of cans of Red Bull and you're likely to do anything," inspector Darren Williams told the news outlet.
Once police caught up with them in Grafton, the children locked the doors and wouldn't get out. Eventually, an officer broke a window using his baton, the AP reported.
Police said the group stopped at gas stations in two towns and didn't pay for the fuel they pumped, according to the AP.
They were taken into custody and could face charges.