According to a statement from Police Service Northern Ireland, the four were arrested in Londonderry on Tuesday morning under the Terrorism Act.
The men, aged 20, 27, 29 and 52, were taken into custody in Belfast.
McKee was shot dead in April 2019 amid rioting in the Creggan area of the Northern Irish city, which is referred to as Derry by Irish nationalists and as Londonderry by British unionists.
She was the first journalist to be killed in the United Kingdom since 2001, according to the nonprofit Committee to Protect Journalists.
McKee had been identified as a rising star in journalism, and spent much of her career reporting on the reverberations of sectarian conflict in her home country.
Police have also renewed their call for witnesses.
“I have always believed that some people within the community know what happened and who was involved, I understand that people may be frightened to talk to us,” Senior Investigating Officer Detective Superintendent Jason Murphy said in a statement Tuesday.
He added: “I have previously given my personal assurance relating to anonymity for the purpose of this investigation and I renew this assurance today, as we approach the anniversary of Lyra’s murder.”
The police also asked for the public to share mobile phone footage of the incident.