The arrests were made under the Terrorism Act.
The men, aged 19, 20, 21 and 33, were detained for questioning at the Serious Crime Suite at Musgrave Police Station.
"These arrests are the culmination of a detailed two-year investigation into Lyra’s murder and the events which preceded it," said Detective Superintendent Jason Murphy. "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."
A Derry man, Paul McIntyre, has previously been charged with McKee's murder. Another man was charged with connected rioting offences.
29-year-old McKee was shot dead while covering a riot in the Creggan area of Derry. A dissident Republican group known as the New IRA claimed responsibility for her murder.
