"In the early hours of today..., the joint security forces rescued unhurt the two remaining victims abducted during the attack on a US convoy," Anambra state police stated.
"Operations are still ongoing."
Gunmen killed seven people - three consulate staff and four police guards - when they opened fire on the two-car convoy on Tuesday, before abducting two other staffers in southeast Anambra state.
Police say they suspect gunmen from the outlawed Indigenous People of Biafra (IPOB) separatist group that agitates for the ethnic Igbo people. Criminal and kidnap-for-ransom gangs also operate in many parts of Nigeria.
No U.S. citizen was involved and U.S. Secretary of State Antony Blinken said there were no indications the attack specifically targeted the US consulate or staffers.
Two suspects linked to the convoy attack have been arrested, police said.
The U.S. consulate in Lagos did not immediately respond to a message request for comment.
The consulate team were travelling to visit a USAID-funded project providing humanitarian aid for people displaced by flooding in Anambra last year.
Police and naval forces engaged in a gun battle with the attackers who escaped into forests. Security forces raided a camp of suspected separatists on Wednesday, but found it abandoned.
IPOB has been repeatedly accused of targeting police patrols and killing security officers in southeast Nigeria. It persistently denies being behind any violence.
Separatism is highly sensitive in Nigeria, where around one million people died from fighting or starvation in a three-year civil war following the declaration of an independent Republic of Biafra in the southeast by Igbo army officers in 1967.
Separatists still operate in the country's southeast, where they have been blamed for escalating attacks in recent years, usually targeting police or government buildings.
