A graph is s-transitive if its automorphism group acts transitively on s-arcs but not on (s+1)-arcs in the graph. Let X be a connected tetravalent s-transitive graph of order twice a prime power. In this paper it is shown that s=1,2,3 or 4. Furthermore, if s=2, then X is a normal cover of one of the following graphs: the 4-cube, the complete graph of order 5, the complete bipartite graph K5,5 minus a 1-factor, or K7,7 minus a point-hyperplane incidence graph of the three-dimensional projective geometry PG(2,2); if s=3, then X is a normal cover of the complete bipartite graph of order 4; if s=4, then X is a normal cover of the point-hyperplane incidence graph of the three-dimensional projective geometry PG(2,3). As an application, we classify the tetravalent s-transitive graphs of order 2p2 for prime p.