A spokesman for Milinkevich, Pavel Mazheika, told AFP: "Alexander Dobrovolsky, Anatoly Lebedko, Alexei Yanukiyevich and Valentina Polevikova were arrested."
He said that "several dozen" other people who had been protesting against the landslide presidential re-election victory of Alexander Lukashenko had also been detained overnight.
Lebedko is head of the United Civil Party (UCP), a liberal group that selected Milinkevich to represent the United Democratic Forces coalition against Lukashenko in Sunday's poll.
Polevikova and Dobrovolsky are senior UCP officials and Yanukiyevich is a member of another opposition group, the Belarussian Popular Front.
"We came back to the square but some police officers in plain clothes arrived. They took the men and put them in a minibus and they told the women to stay at home and bring up children"
Valentina Polevikova, United Civil Party member
Lukashenko won Sunday's election with 82.6% of the vote, according to preliminary official results.
Milinkevich was credited with just 6% in the ballot, which was condemned on Monday by the leading Western election-monitoring body as neither free nor fair.
Milinkevich has declared the election invalid and hopes to lead a peaceful protest movement modelled on the "orange revolution" of 2004 in neighbouring Ukraine.
Polevikova told reporters after her release that she was with Lebedko and Dobrovolsky when they were arrested. She said she had been prevented from re-entering Oktyabrskaya Square, where around 300 mostly young people rallied in freezing temperatures and in defiance of a government ban.
"We came back to the square but some police officers in plain clothes arrived," she said. "They took the men and put them in a minibus and they told the women to stay at home and bring up children." Polevikova said she had been taken home by the officers.
The US and EU have denounced
President Lukashenko's win
There was no information on the whereabouts of the other three activists.
Lebedko had been due to attend a hearing on Tuesday for "insults" uttered during a brief detention on March 15 in the run-up to the election.
A police official in Minsk said: "We haven't received any detainees from Oktyabrskaya Square. Look for them somewhere else."
The United States and the European Union have denounced the authorities' crackdown on opposition activists, several of whom were jailed for up to two weeks on various charges during the election campaign.