The four women, aged between 22 and 29, have been charged with giving false information to public officers and unlawful assembly, police spokesperson Danny Mwale said in a statement.
"The suspects are in police custody and will appear in court soon," Mwale said.
Those held include the co-founder and two other members of the Sistah Sistah Foundation, a local non-profit that on Sunday organized a demonstration against gender-based violence in the capital Lusaka, ahead of International Women's Day on Wednesday.
On Monday, Zambia's government said the march was used to "champion an illegal and criminal cause."
It condemned what it said was the "irresponsible" behavior of those in attendance, who had chanted and carried placards "in support of homosexuality."
"Government wishes to remind the public that as a Christian Nation, they have a duty to uphold the Christian values of morality, decency and human dignity," government spokeswoman Chushi Kasanda said in a statement.
Photos of the event posted on social media showed dozens of people marching in the city, some holding signs reading "No is no" and "There is no dress code for rape."
In one picture a woman is seen holding a small rainbow flag, while another snap shows an attendee sporting a rainbow face mask.
Zambia has long resisted international calls to lift its anti-gay laws, despite pressure from donor countries that provide essential aid.
Zambian police said Tuesday they had arrested four women's rights activists who had taken part in a march against gender-based violence that authorities said was used to support "homosexuality."
LUSAKA —