"We couldn't find any passports or anything," he said. "Nothing was left behind."
It was unclear what the group had been doing in the forested area away from main routes through the province.
"We understand from locals that the foreigners were first seen in the area around 14 days ago," Al Jazeera's James Bays, reporting from the Afghan capital, Kabul, said.
"In the last four or five days, shepherds reported that there had been vehicles shot up in the area.
"Investigations are continuing... It's a very remote area."
The US embassy was working with local authorities and others to learn more about the identities and nationalities of the dead, a spokeswoman said.