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government said on Saturday, following reports that activists had been killed.
Two suspects have been arrested after the four bodies were found at a house in the city's fifth police district, interior ministry front man Qari Sayed Khosti said in a video statement.
"The arrested people have admitted in initial interrogation that the women were invited to the house by them. Further investigations are under way and the case has been referred to court," he said.
Khosti did not identify the victims, but a source in Mazar-e-Sharif told AFP that at least one of the dead was a women's rights activist, whose family does not wish to speak to the media.
"Please don't kill us!"
A report on BBC Persian, citing civil society sources, said the four women were friends and colleagues who had hoped to travel to Mazar-e-Sharif airport for a flight out of the country.
A rights group source told AFP on condition of anonymity that the women received a call that they thought was an invitation to join an evacuation flight and were picked up by a car, only to be found dead later.
The Taliban, who seized power in Afghanistan in August after a 20-year war against the former US-backed government, are a deeply conservative Islamist movement.
Under their last period of rule women were banned from public life and since the group's return to government many rights activists have fled the country.
Some women who remained have held street protests in Kabul demanding that their rights be respected and that girls be allowed to attend public high schools.
Taliban fighters have broken up some of the protests, and the government has threatened to arrest any journalists covering unauthorized gatherings.
But the movement's leaders have insisted that their fighters are not authorized to kill activists and have promised that any who do will be punished.