According to officials on Sunday, a convoy of about 30 policemen was on a routine patrol when it came under attack on Saturday in the Bahramcha area of Deshu district in Helmand province, some 690km south of the capital Kabul.
"Four police were killed in the two-hour exchange of fire and six other missing police were later found beheaded with their heads atop their chest after a long search for them," Muhammad Rasoul the border brigade commander of Deshu district said.
Initially 16 police went missing soon after the fighting, six police were found immediately, four were killed on the spot and six police were taken by Taliban, Rasoul said.
The headless bodies of the captured six were later found close to the Pakistani border, he added. Provincial governor Mulla Shir Muhammad blamed the attack on Taliban rebels and said they had crossed into Afghanistan from Pakistani soil, quoting local witnesses.
"The Taliban attacked our border police in four vehicles, they came from Pakistan and escaped back into Pakistan and left the beheaded bodies close to the border," said Muhammad.
On Saturday a man claiming to be speaking on behalf of the ousted Taliban government called journalists from an unknown location and claimed responsibility for the attack.
The Taliban, who were ousted from power by US-led forces in 2001, have stepped up their attacks in the run up to parliamentary elections in September.