Zuniga was arrested shortly before midnight on Monday at a military checkpoint in Zapopan, said Francisco Alejandro Solorio, the Jalisco state police director.
Zuniga was riding in one of two lorries, where soldiers found a large stash of weapons, including two AR-15 assault rifles, .38 specials, 9mm handguns, nine magazines, 633 cartridges and $53,300, Solorio said.
He said Zuniga had told police that she was planning to travel to Bolivia and Colombia with the men to go shopping.
When the former pre-school teacher won Miss Sinaloa in July she gave an impassioned speech about how society should value women more, especially mothers.
In October, she won the Hispano-American Queen beauty contest in October against competitors from across Latin America.
She came third in the Nuestra Belleza Mexico pageant in Monterrey in September. That pageant sends its winner to the Miss Universe contest.
Taking third place in that contest meant she was expected to represent Mexico in the 2009 Miss International contest.
Zuniga is from the Pacific coast state of Sinaloa, the home of the powerful cartel of the same name. It was not immediately known whether Zuniga and the men were being investigated for drug ties.