Al Jazeera's Alireza Ronaghi said the death toll was bound to rise as it was a very strong explosion.
The bomb was said to be lodged inside a briefcase on the men's side of the mosque, he reported.
He quoted the Sistan and Baluchestan governor as saying that a "group of terrorists were arrested as they were trying to escape from the province".
Zahedan is the capital of Sistan and Baluchestan province, which shares a border with Pakistan and is the scene of frequent clashes between Iranian police on the one hand and drug dealers and armed groups on the other hand.
"Back in June at least 16 soldiers were abducted by Jundallah. Later in December they were all killed and scenes filmed of their killings were sent to their families," our correspondent said.
"On December 31, 2008, a suicide attack killed four Iranians and in February, there was an explosion in a mosque which didn't leave any casualties but it's an area which is home to the Baluch minority and there has been a lot of tension between the Sunnis and Shias.
"Jundallah claims to seek freedom for Iran's Sunni minority and many attacks of such nature have happened here last year."