Border posts were closed after the journalists' deaths
Australian TV cameraman Harry Burton and Afghan photographer Azizullah Haidari, who both worked for Reuters news agency, Italian Maria Grazia Cutuli, of the Corriere della Sera newspaper, and Spaniard Julio Fuentes, who worked for the Spanish daily El Mundo, were killed after they became separated from a convoy on the road between Jalalabad and the Afghan capital, Kabul.
The Northern Alliance says it has launched an investigation into the killings, which it says were probably carried out by former Taleban fighters.
Reuters says the evidence gathered so far rules out robbery as a motive.
Bursts of gunfire
The group's drivers said two of the vehicles carrying the journalists were forced to stop by six gunmen near the town of Sarobi, about 90 kilometres (60 miles) east of Kabul.
When the journalists refused, the gunmen told them: "You think the Taleban are finished? We are still in power and we will have our revenge," Associated Press quoted a driver called Ashiquallah as saying.
Another driver, Mohammed Farrad, said he had heard three or four bursts from a Kalashnikov rifle.
"They took the journalists, and when the journalists turned to look at them, the gunmen shot," he said.
"There wasn't any attempt at robbery," according to Reuters Pakistan bureau chief Jack Redden.
Commemoration
Reuters offices observed a minute's silence to commemorate their two employees, both 33.
Azizullah Haidari, who has spent half his life as a refugee in Pakistan, recently expressed hopes of returning to the homeland he had not seen for years. He is married to a Pakistani and has a son and a daughter.
Harry Burton, who came from Brisbane, began working for Reuters as a cameraman some 20 months ago.
The Spanish newspaper El Mundo published an obituary of Julio Fuentes, 42, one of the country's best-known war correspondents. Fuentes covered virtually every major conflict in the last 20 years.
Italian papers paid tribute to Maria Grazia Cutuli, a Sicilian-born journalist who had covered conflicts in Bosnia, Congo and Sierra Leone.
Colleagues helped her celebrate her 39th birthday with a party in Peshawar, Pakistan, on October 26.
Search for gunmen
Nangarhar provincial police chief Hazrat Ali said his forces are hunting for the killers of the journalists.
"According to my information, they have been killed by Arabs," Mr Ali told the French news agency, AFP.
"I've sent my commanders to the region to investigate and determine where these killers have escaped," he said.
Arab volunteers are known to belong to Osama Bin Laden's al-Qaeda network and form part of the Taleban militia.
The police chief said efforts were being made to improve security in the province, which fell under the control of Pashtun tribes after the Taleban retreated.
"We have set up checkpoints at different places to stop the entry of unwanted people," said Mr Ali.
An anti-Taleban commander in Jalalabad, Haji Shershah, said the attackers were just robbers and not Taleban fighters.
Monday's killings bring to seven the number of journalists killed reporting on the war in Afghanistan.