Mandla Hlatshwayo and his friend were shot after confronting a group of men who had robbed women of their mobile phones in a pub in Soweto.
The suspects were found in possession of drugs and an unlicensed gun.
South Africa has one of the highest murder rates in the world with more than 50,000 cases reported every year.
"Police are questioning the suspects to see if they can link them to the shooting," says the police's Lungelo Dlamini.
Tributes are still pouring in for the star who was also a DJ on local radio station Jozi FM.
Those who knew the 40-year-old have described him as a selfless man.
South African police say four people have been arrested in connection with the murder of former actor on popular local TV series Generations.