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We investigate the four-wave mixing (FWM) nonlinearity in an ensemble of cold Rydberg atoms with each of them regarded as a double-ladder system. The interaction is studied from the view of generating a signal field in virtue of three applied lasers. Using an approach beyond mean-field theory, we solved the equations for the one-body and two-body correlators under perturbation, and show that the system possesses not only a local FWM nonlinearity, but also a much larger nonlocal nonlinearity due to the Rydberg–Rydberg interaction which can be further strengthened by increasing the atomic density. The results obtained may have promising applications in the quantum information processes involving the FWM nonlinearity, such as the generation of squeezed or entangled states.