Three of them, namely Nicholas Gichuki, Brian Adagala and Mark Karubiu, were taken into custody early Saturday at their studio in Karen.
The identity of the fourth filmmaker is yet to be confirmed.
The filmmakers are reportedly being held at Muthaiga and Pangani police stations in Nairobi.
Their arrests come just days after the BBC released a 40-minute investigation revealing how Kenyan security forces opened fire on anti-tax protesters outside Parliament in June 2024, killing and injuring several people.