The victims were killed in an "ambush" early Friday and buried in a mass grave by supporters of late militia leader Kamwina Nsapu around 75 kilometres north of Tshikapa, in the Democratic Republic of Congo's central Kasai region, a police spokesman said.
The 39 massacred police officers had been travelling in two army transport trucks "with a substantial cargo" of materiel and law enforcement equipment, which their attackers hijacked, spokesman Colonel Pierre-Rombaut Mwanamputu added in a statement.
The national police "strongly condemns this massacre" and have taken urgent measures to boost security in that part of the country, the statement said.
Clashes between government forces and Nsapu supporters began in central Kasai, but the violence has since spilled over to the neighbouring provinces of Kasai-Oriental and Lomami, leaving at least 400 people dead.
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The Kamwina Nsapu group is accused of numerous atrocities by the United Nations and of using child soldiers.
DR Congo security forces have also faced regular UN condemnation over the use of disproportional force against the militiamen, who are armed mainly with clubs and catapults.