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.
CCTV released by the PSNI captured her final moments, when she stood near a police 4x4 vehicle, in the hope the public could help trace suspects.
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.
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”.
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.
Detective Superintendent Jason Murphy, who leads the inquiry, described the murder as “senseless and appalling beyond belief”. He said police have already received “a large number of calls and information”.
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,” Ms 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 US president Bill Clinton said he was “heartbroken” by the murder.
He tweeted: “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.”
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 next year.
Additional reporting by PA