Ms McKee was shot dead in Derry in April 2019 as she observed rioting in the Creggan area of the city.
The men – aged 19, 20, 21 and 33 – were arrested in the Derry area on Wednesday morning under the Terrorism Act.
They have been taken to the Serious Crime Suite at Musgrave Police Station in Belfast for interview.
Police Service of Northern Ireland (PSNI) Detective Superintendent Jason Murphy said: “These arrests are the culmination of a detailed two-year investigation into Lyra’s murder and the events which preceded it.
“The local community have supported the Police Service of Northern Ireland throughout the course of this protracted investigation and I wish to thank them for their continued support and patience whilst this phase of the investigation is ongoing.”
One man, Paul McIntyre (53) from Kinnego Park in Derry, has already been charged with Ms McKee’s murder.
Another man has been charged with rioting and other offences related to the events of the night in Creggan.