The men are reportedly aged 18 and 19 years old.
29-year-old Lyra McKee was shot dead following an outbreak of orchestrated violence in the Fanad Drive area of Creggan in Derry on the night of Thursday 18 April.
It had previously been believed that McKee was wounded by gunshots fired by a single gunman - whom the PSNI believe to be a violent dissident republican - and subsequently died from her injuries.
In a statement released on their social media platforms on Saturday morning, the PSNI said the following:
"Major Investigation Team detectives have arrested two men, aged 18 and 19 under the Terrorism Act, in connection with the murder of Lyra McKee in the Creggan area of Derry on Thursday, 18th April. They have been taken to Musgrave Serious Crime Suite."
Investigations are said to still be ongoing, while the tributes for Lyra McKee continue to pour in from all over the world, including from former US President Bill Clinton, who had a key role in the peace process:
Heartbroken by the murder of Lyra McKee and the violence in Derry. The challenges in NI today are real--but we cannot let go of the last 21 years of hard-won peace and progress. This tragedy is a reminder of how much everyone has to lose if we do.
— Bill Clinton (@BillClinton) April 19, 2019