First proposed by Mayers and Yao, self-testing provides a certification method to infer the underlying physics of quantum experiments in a black-box scenario. Numerous demonstrations have been reported to self-test various types of entangled states. However, all the multiparticle self-testing experiments reported so far suffer from both detection and locality loopholes. Here, we report the first experimental realization of multiparticle entanglement self-testing closing the locality loophole in a photonic system, and the detection loophole in a superconducting system, respectively. We certify three-party and four-party GHZ states with at least 0.84 (1) and 0.86 (3) fidelities in a device-independent way. These results can be viewed as a meaningful advance in multiparticle loophole-free self-testing, and also significant progress on the foundations of quantum entanglement certification.