The men, aged 18 and 19, were detained under anti-terrorism legislation and have been taken to a police station in Belfast for questioning, the Police Service of Northern Ireland (PSNI) said.
An outpouring of tributes to the 29-year-old was led by her partner, Sara Canning, who said Ms McKee’s “amazing potential was snuffed out by this single barbaric act”.
Detectives hunting the gunman have released footage of the shooting in the hope the community can help trace her killers.
The published author, from Belfast, was shot in the head by suspects who police believe were dissident republicans linked to the New IRA, as they clashed with police on the Creggan estate in Londonderry on Thursday night.
CCTV released by Police Service Northern Ireland captured her final moments at around 10pm, when she stood among a crowd of other innocent bystanders and raised her phone in the air, apparently to photograph the violence.
Shaky mobile phone footage also released by detectives showed a masked gunman lean from behind cover and appear to fire shots towards police and onlookers.
Ms Canning said: “Victims and LGBTQIA community are left without a tireless advocate and activist and it has left me without the love of my life, the woman I was planning to grow old with.
“This cannot stand, Lyra’s death must not be in vain because her life was a shining light in everyone else’s life and her legacy will live on and the life that she has left behind.”
Police, who described the shooting as a “terrorist incident”, believe the violence was orchestrated in response to an earlier search by officers aimed at averting imminent trouble associated with this week’s anniversary of the Easter Rising.
Around 50 petrol bombs were thrown in the confrontation and two cars were burned out.
Officers believe more than one person was involved in the murder.
In the video footage an accomplice beside the gunman appears to crouch and pick something up from the spot where the shots were fired.
Detective Superintendent Jason Murphy, who leads the inquiry, described the murder as “senseless and appalling beyond belief”.
“People saw the gunman and people saw those who goaded young people out onto the streets, people know who they are,” he said.
“The answers to what happened last night lie within the community.
“I am asking people to do the right thing for Lyra McKee, for her family and for the city of Derry/Londonderry and help us stop this madness.”
He said police have already received “a large number of calls and information”.
Deputy Chief Constable Stephen Martin addressed the suspects directly at a press conference, saying: “This was not done to further any cause, this will have achieved nothing other than to plunge a family into grief.”
Political leaders including Prime Minister Theresa May and Taoiseach Leo Varadkar joined to condemn the murder.
“My deepest condolences go to her family, friends and colleagues,” Mrs May said. “She was a journalist who died doing her job with great courage.”
Mr Varadkar added: “We cannot allow those who want to propagate violence, fear and hate to drag us back to the past.”
Former United States president Bill Clinton tweeted: “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.”
The New IRA is an amalgam of armed groups opposed to the peace process and recently claimed responsibility for parcel bombs sent to London and Glasgow in March.
A vigil was held in Creggan in Ms McKee’s memory, organised by local residents who said they felt sad and angry.
She had recently moved to Derry to live with “love of her life” Ms Canning and was also an editor for California-based news site Mediagazer, a trade publication covering the media industry.
In 2016, Forbes Magazine named her one of their 30 under 30 in media and she was working on a book due to be published in 2020.