The men, aged 44 and 53, were arrested in the Londonderry area on Friday morning, October 1, under the Terrorism Act. They have been taken to the Serious Crime Suite at Musgrave police station in Belfast for an interview.
Ms. McKee, 29, was shot dead in Londonderry in April 2019 as she observed rioting in the Creggan.
Three men have already been charged with her murder, while another two men have been charged with rioting and associated offences.
The extremist group that styles itself the New IRA previously claimed responsibility for the killing.
Last month, Geroid Cavanagh, 33, and Jordan Devine, 21, both from Londonderry appeared by videolink at the city’s magistrates’ court where they were charged with her murder.
They were both also charged with possession of a firearm and ammunition with intent to endanger life, riot, possession of petrol bombs, throwing petrol bombs, and arson. Cavanagh was further charged with robbery.
The two defendants were granted bail by district judge Barney McElholm and will appear in court again on October 7.
A third man, Joe Campbell, 20, from Derry, was charged with riot, possession of petrol bombs, and throwing petrol bombs on the night that Ms. McKee was killed.
He was also granted bail and will appear in court again on October 7.