Police said the nighttime attack left one person dead and three wounded, The Standard reported. The explosives appeared to be grenades.
Police official Isaiah Odhiambo said authorities had taken control of the situation and they were hunting down the gunmen, who were in two vehicles.
The attack follows last weekend's Westgate Shopping Mall attack in Nairobi in which several dozen people died.
Benedict Cumberbatch's dramatic reading of R. Kelly lyrics is just what you need
Kate Middleton recycles dress at movie premiere