Asadullah Khalid, the provincial governor of Kandahar, said police found the bodies of the Macedonians late on Thursday in a mountainous region in the Maiwand district of Kandahar, a former Taliban stronghold.
The men were employees of a German company. They were purportedly abducted by Taliban fighters last Saturday.
The bomb hit one vehicle in the convoy as it was returning the bodies to Kandahar late on Friday. Five officers died and three were wounded, Khalid said.
Other vehicles in the convoy continued on to Kandahar and the bodies were later transported to Kabul.
Macedonia's Foreign Ministry said it could not confirm that the bodies of the missing foreigners had been found.
Four Afghans and four Macedonians of Albanian descent were abducted in either Kandahar or Helmand, two neighbouring southern provinces, last Saturday. The four Afghans were later released.
All eight worked for Ecolog, which provides sanitation services at US and Afghan army bases.