Three Afghan guards and the Afghan director of Olympus Security Group were arrested for operating without a licence.
Police have already warned that they plan to target about a dozen security businesses.
Olympus, which has only a small presence in Kabul, is the first foreign security company to be shut after the closures of seven Afghan security firms. A woman who answered the phone at its headquarters in Gloucestershire said no-one was available to speak about the company's Afghan operations.
Officials say some of Kabul's security firms are suspected of involvement in criminal activity, such as killings and robbery. About 60 security companies are registered with the government, but two dozen others are thought to be in existence.
The government is proposing new rules to tighten control over such firms amid concerns they intimidate Afghans, disrespect security forces and do not co-operate with the authorities.
The crackdown echoes efforts by the authorities in Iraq to rein in private security contractors who are often accused of acting with impunity.