A driver in the convoy said he saw a woman journalist and at least one man shot as he fled the scene. Italian Foreign Minister Renato Ruggiero said four bodies had been found, including that of Maria Grazia Cutuli of the Milan newspaper Corriere della Sera.
"We have unfortunately the confirmation from our crisis unit that ... the four bodies found on the road are in fact four journalists, including your colleague from Corriere della Sera," said Ruggiero, speaking in Brussels, Belgium.
The Reuters news agency said Australian television cameraman Harry Burton and Afghan-born photographer Azizullah Haidari were among the journalists.
In addition, Julio Fuentes of the Madrid daily El Mundo was involved in the incident, the paper reported.
The driver, Ashiq Quallan, said three cars were ahead of the rest of the convoy when they were stopped near Babali Uba about halfway between Jalalabad and Kabul.
He said one vehicle sped away but armed men stopped his car and a second one.
Quallan said his car was carrying a male journalist, a female journalist and a translator. Two other journalists and a driver were in the second car.
He said the gunmen pulled the occupants from the two cars and began to throw stones at them. He said he and the driver of the second car begged for their lives and fled. Before he got away, however, he said he saw the gunmen shoot the woman and one man.
The gunmen said Taliban fighters remained in the area, said Quallan, who added that he did not know if the gunmen were Taliban or bandits.
A commander of fighters sent to the area by Jalalabad's chief of law and order said his men were told by people they met that they had seen dead bodies by the road. He said his fighters stopped on the edge of the province's border and did not travel to the scene because it was nightfall and they had no jurisdiction in the area.
The fate of the Afghan translator was unknown.
One driver said the journalists were taken out of view behind a large stone. He said he heard firing, and "that's when we ran away from that place."
The drivers met the convoy's remaining vehicles, which were traveling behind at some distance. The convoy turned around and went back to Jalalabad.
Hazarit Ali, chief of law and order in Jalalabad, said the convoy was traveling without the customary armed guard.
The region, known as the Black Mountains, is under Northern Alliance control, according to an alliance commander.
A few hours later, another Afghan driver told CNN about an attempt to stop another convoy.
This driver told CNN he was driving in a three-car convoy in the same area when eight armed men stopped the convoy. He said he believed the men to be Afghan bandits because they spoke Pashtu.
He said he and another driver sped away, leaving one of the cars in the convoy. The gunmen fired at his vehicle, he said, showing the bullet holes in his car.