Another 32 people were injured in the blast that occurred on the Pakistan-Iran highway in Mastung district when the bus with around 50 pilgrims was coming to provincial capital Quetta.
Quetta police chief Mir Zubair Mehmood confirmed the deaths and said the injured, including women, had been taken to a military hospital.
"The powerful explosion hit the bus in Dringhar area on the highway some 50 km from Quetta," he said.
Mastung district Assistant Commissioner Shafqat Anwar told reporters that the bus caught fire after the blast.
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"We are still trying to ascertain whether it was a suicide attack or a roadside bomb but the explosives used were around 100 kg," Anwar said.
Two security vehicles escorting the buses were damaged in the blast.
No group claimed responsibility for the attack.
Earlier in the day, a noted Shia playwright was shot and injured by unidentified gunmen in the eastern city of Lahore.
Buses carrying Shia pilgrims have been repeatedly targeted in desolate areas of Balochistan in recent years. Scores have died in these attacks, many of them blamed on the banned Lashkar-e-Jhangvi.