The unidentified 18-year-old and 19-year-old men were arrested in Londonderry Saturday under anti-terrorism laws.
The men have not been identified or charged.
McKee was fatally wounded during rioting Thursday night in the city of Londonderry.
Police said they believed the shooting was likely carried out by the small New IRA group of Irish nationalist militants opposed to the Good Friday peace deal.
McKee was killed almost 21 years to the day after a 1998 peace treaty, known as the Good Friday Agreement, was signed, ending the Troubles, the long period of violence in Northern Ireland in which Irish nationalists battled with United Kingdom loyalists and British troops. I believe that the people responsible are members of the new IRA.
Chief detective Jason Murphy warned Saturday that the situation on the ground has become more risky, even though community attitudes have changed since the peace agreement and the use of violence is viewed as abhorrent by the vast majority.
Detectives hunting the gunman had released security camera footage of the unrest on Derry's Creggan estate, hoping that the community would help trace her killers.
Murphy said there was a "new breed of terrorist coming through the ranks". The rioting started after police moved into the Creggan housing complex to search for weapons.
In the video, the masked attacker leans from behind cover and appears to fire shots towards police and onlookers.
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A year after moving to Londonderry, celebrated journalist Lyra McKee wrote about how she looked forward to "better times ahead and saying goodbye to bombs and bullets once and for all". The journalist was rushed to a nearby hospital in a police vehicle but still died.
Named as one of the "30 under 30 in media" by Forbes Magazine in 2016, Ms McKee was cited for her passion of "dig (ging) into topics that others don't care about".
Michel Barnier, the European Union's chief Brexit negotiator, who has insisted the maintenance of a completely open border, on Saturday said the killing was "a reminder of how fragile peace still is in Northern Ireland".
The victim was mourned by friends and the wider community. She did not travel to Northern Ireland but spent Friday marshalling a running race in her Maidenhead constituency.
She recently signed a publishing deal for two books. The last tweet she sent out before she was killed showed a photo of the violent scene, with the caption "Derry tonight".
Canning said that Ms McKee's dreams had been "snuffed out by a single barbaric act" and that she had been left without "the woman I was planning to grow old with". "It is abundantly clear that they do not care who they harm", he continued.
"Lyra's murder was an attack on all the people of this community, an attack on the peace and on the democratic processes", leaders of the main six parties said in a statement. The group was blamed by police for planting a auto bomb outside a courthouse in Londonderry in January.
The 29-year-old was shot dead on Thursday as she was reporting on a riot.
Petrol bombs were thrown and images from the scene show vehicles alight and others burnt out.