Artist Nathan Coley specialises in often very large cardboard models of religious buildings, painted with stripes or gold panels.
Judges said Coley's There Will Be No Miracles Here referenced the ongoing conflict between religious and state authorities.
Mike Nelson was previously shortlisted in 2001 and his work is described by the judges as both "claustrophobic" and "engaging".
Nelson is known for creating life-like spaces and rooms which bring a sense of other places and moods within a gallery.
Zarina Bhimji's family fled Idi Amin's Uganda in 1974. She has taken photographs of the country over an eight year period.
Judges said Bhimji "somehow manages to balance the deeply romantic imagery with a strong sense of portent, of disquiet, of melancholy".
State Britain is Mark Wallinger's exact recreation of how Brian Haw's protest camp outside Parliament used to look.
The judges acknowledged that all the shortlisted works had a political dimension but said this had not been a conscious decision.