The wife and two children of a director at the Italian Development Cooperation, part of the Foreign Ministry, spent an hour and a half hiding in a stairwell before they were saved by police.
"They were in the middle of the mall, on their way to the fish shop, when the lady first heard explosions. She immediately ran to the emergency staircase," a spokeswoman at the Italian embassy in Nairobi told The Local.
Another Italian woman escaped by hiding in a safari shop for three hours on Saturday afternoon after Somali al-Shabab militants launched the attack at Westgate shopping mall.
Two women who work at the Italian embassy, one shopping with her two children, were also in the mall at the time of the attack. Both escaped and were back at work on Monday morning, but the embassy car remains abandoned in the shopping mall car park, the spokeswoman said.
Ten Italians were caught up in the siege, now entering its third day, which began when militants sprayed machine-gun fire at shoppers and threw grenades around the building.
Sixty-eight people are known to have been killed, although police sources said they feared the number could be much higher. Around 200 people have been injured.
A number of foreigners have been killed, including three Britons, two French women, two Canadians and a Dutch woman, according to their governments.
The al-Qaeda linked group said the attack was in response to the presence of Kenyan troops in Somali, where they are fighting against the Islamist militants.
The siege is the worst terrorist attack in the Kenyan capital since 1998, when an al-Qaeda bombing at the US embassy killed more than 200 people.