The head of the Federal Police's anti-drug unit, Ramon Pequeno, said the suspects belong to the La Familia drug cartel.
The federal officers were killed the weekend of July 12, when the gang retaliated for the arrest of an alleged gang leader by launching more than a dozen attacks on federal forces in one of the boldest offensives against the government. At least 18 federal agents died in the attacks, in which gunmen threw grenades and fired at federal police stations.
Pequeno said one of the suspects, Jose Lopez, was caught Tuesday carrying a gun of one of the slain agents in the town of Arteaga, where the officers had been gathering intelligence.
The three other suspects were stopped by police while riding in a taxi Tuesday in Michoacan state, Pequeno said. He did not give further details.
Pequeno said Lopez told authorities the government's actions have left La Familia in a critical situation. The suspect also told police about some of the inner workings of the cartel, which emerged in 2006 after breaking off from the Gulf Cartel, according to a transcript of his statements released by the Federal Police.
Lopez, who said he was paid 3,000 pesos ($226) a week, said La Familia regularly lectures its members on how to conduct themselves, forbidding them from driving over the speed limit, getting drunk or dealing methamphetamines within Michoacan. He said the cartel only allows methamphetamines to be smuggled abroad.
La Familia, which is notorious of beheading its rivals, has long released messages trying to portray itself as the defender of the security of ordinary citizens.
The government increased the presence of federal forces by 5,500 soldiers and police after the attacks. Federal police were told the top priority was arresting those who killed the agents.
Interior Secretary Fernando Gomez Mont said La Familia is acting out of desperation and he challenged the cartel to take on federal forces.
"Sirs, we are waiting for you," Gomez Mont said. "Mess with authorities, not with citizens. That's the invitation we're making you."
Michoacan has been at the center of Calderon's drug war. Calderon first sent troops to the state after taking office in December 2006 to launch his organized crime crackdown.
During an unprecedented sweep against politicians in May, federal authorities arrested more than two dozen mayors and state officials in Michoacan for allegedly protecting La Familia.
Cartels have responded to the nationwide crackdown with a vengeance. More than 11,000 people have been killed by drug violence since 2006. The government says most of the victims are drug traffickers fighting rivals for lucrative drug routes to the United States.