The provincial police chief said the French woman had been wearing a burqa and the man was dressed in a traditional Afghan shalwar kameez tunic and turban when they were taken.
The French foreign ministry said it had been informed by Terre d'Enfance that the two French nationals had failed to reach their destination on Tuesday.
They had been setting up a women's group in the Zaranj, the capital of Nimroz province. The organisation has been working in the area for four years.
"Police have launched a search and investigation," Zemarai Bashary, Afghan interior ministry spokesman, told AFP news agency.
The abduction comes one month after Daniel Mastrogiacomo, an Italian reporter with La Repubblica newspaper, and two Afghan colleagues were kidnapped by the Taliban in Helmand province.
Mastrogiacomo was freed on March 19 after the Afghan government released five Taliban prisoners but his translator, Ajmal Nashqbandi, is still being held. The journalist's driver was beheaded.