Police in Swedish city Malmö confirmed the arrests on Thursday afternoon.
The men, aged 22 and 27, are both suspected of grossly endangering the public.
“Two people were arrested yesterday. They are suspected of involvement in the explosion at the Tax Agency,” Malmö police spokesperson Nils Norling said.
“We cannot make further comment,” Norling said.
It is unclear whether the men deny or accept the accusations.
Swedish police have until Saturday to decide whether to bring the men before a judge, who will determine whether they should be detained in Sweden or extradited to Denmark.
The arrests were also confirmed by Copenhagen Police.
“A further two people were arrested in Sweden yesterday in connection with the explosion at the Tax Agency on August 6th. We have no further information at this time,” Copenhagen Police tweeted.
The arrests bring the total number of suspects in the case to four. Of those, three are now in custody while one remains wanted by police. An international arrest warrant has been issued for the fourth suspect, a 23-year-old man.
Swedish newspaper Kvällsposten has reported that police have seized items from the 23-year-old’s home, based on comments provided by the man’s lawyer.
The first person to be arrested, a 22-year-old, will be handed over to Denmark by Sweden, a judge in Malmö ruled on Friday last week. Whether that decision will be appealed remains unclear.
The explosion at the Tax Agency occurred at the authority’s offices in the Nordhavn area of Copenhagen around 10pm on August 6th. Explosives were placed 60 centimetres from the entrance to the building.
A large blast damaged the façade of the building. One person sustained minor injuries.