Sub-Neptunes with 2-3R_⊕ are intermediate in size between rocky planets and Neptune-sized planets. The orbital properties and bulk compositions of transiting sub-Neptunes provide clues to the formation and evolution of close-in small planets. In this paper, we present the discovery and follow-up of four sub-Neptunes orbiting M dwarfs (TOI-782, TOI-1448, TOI-2120, and TOI-2406), three of which were newly validated by ground-based follow-up observations and statistical analyses. TOI-782 b, TOI-1448 b, TOI-2120 b, and TOI-2406 b have radii of Rₚ = 2.740+0.082-0.079\,R_⊕, 2.769+0.073-0.068\,R_⊕, 2.120±0.067\,R_⊕, and 2.830+0.068-0.066\,R_⊕ and orbital periods of $P = 8.02$, $8.11$, $5.80$, and $3.08$\,days, respectively. Doppler monitoring with Subaru/InfraRed Doppler instrument led to 2σ upper limits on the masses of <19.1\ M_⊕, <19.5\ M_⊕, <6.8\ M_⊕, and <15.6\ M_⊕ for TOI-782 b, TOI-1448 b, TOI-2120 b, and TOI-2406 b, respectively. The mass-radius relationship of these four sub-Neptunes testifies to the existence of volatile material in their interiors. These four sub-Neptunes, which are located above the so-called ``radius valley'', are likely to retain a significant atmosphere and/or an icy mantle on the core, such as a water world. We find that at least three of the four sub-Neptunes (TOI-782 b, TOI-2120 b, and TOI-2406 b) orbiting M dwarfs older than 1 Gyr, are likely to have eccentricities of e ~ 0.2-0.3. The fact that tidal circularization of their orbits is not achieved over 1 Gyr suggests inefficient tidal dissipation in their interiors.
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