Three changed their stories in ways that may damage Zimmerman's case, the Orlando (Fla.) Sentinel reported, citing evidence released last week.
Zimmerman is charged with second-degree murder in the Feb. 26 shooting.
A fourth witness "abandoned her initial story" after first saying she saw one person chasing another, the Sentinel said.
The witness -- a young woman who lives in the gated community where Martin was shot -- now says she saw a single figure running, but "couldn't tell you if it was a man, a woman, a kid, black or white," she said, "because it was dark and because I didn't have my contacts on or glasses," the newspaper reported.
She was interviewed twice by Sanford police and once by the Florida Department of Law Enforcement, the newspaper said.
All four witnesses are likely to be interviewed at least once more before Zimmerman's trial, the newspaper said.
Defense attorneys in Florida routinely question witnesses under oath as they prepare for trial.
Martin, 17, was shot and killed by Zimmerman, a crime watch volunteer in a gated community, as he was walking to the home of his father's girlfriend from a convenience store.
Zimmerman, 28, told police he shot Martin in self-defense.
He is free on $150,000 bail and was ordered to have no contact with Martin's family and no access to alcohol or firearms. His movements are monitored electronically.
The judge set a curfew requiring Zimmerman to remain at home from 7 p.m. until 6 a.m. and to check in with the authorities every three days.
A toxicology report performed on Martin's body found traces of THC, the active ingredient in marijuana, in his blood and "cannabinoids" in his urine, a medical examiner case report indicated.