All N=4 conformal supergravities in four space-time dimensions are constructed. These are the only N=4 supergravity theories whose actions are invariant under off-shell supersymmetry. They are encoded in terms of a holomorphic function that is homogeneous of zeroth degree in scalar fields that parametrize an SU(1,1)/U(1) coset space. When this function equals a constant the Lagrangian is invariant under continuous SU(1,1) transformations. The construction of these higher-derivative invariants also opens the door to various applications for non-conformal theories.