But the Western-backed authorities in Kiev claimed the violence was a set-up by Russia to create a pretext for it to send troops in.
The attack, near the flashpoint town of Slavyansk, undermined an accord worked out in Geneva between Russia, Ukraine and Western powers on Thursday that demanded "illegal armed groups" surrender their weapons and cease occupations of public buildings.
The deal was aimed at easing what has become the worst crisis between Washington and Moscow since the end of the Cold War, but now appears to have stalled.
Today's gun battle occurred in the early hours in a village 18 kilometres west of Slavyansk.
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Vladimir, a masked 20-year-old pro-Russian rebel claimed to be at the scene of the shootout, told AFP: "Four cars pulled up to our roadblock around 1:00am (2200 GMT yesterday). We wanted to conduct a check, and then they opened fire on us with automatic weapons."
An AFP photographer saw the bodies of two militants laid out in a truck near the scene.
The identity of the assailants, who escaped before militant reinforcements arrived, was not known.
The leader of the separatist rebels in Slavyansk, Vyacheslav Ponomaryov, said he believed two of the attackers were also killed.
He declared a midnight-to-6:00am (2100 GMT to 0300 GMT) curfew in Slavyansk -- and appealed for Russian President Vladimir Putin to send in Russian troops as "peacekeepers to defend the population against the fascists".
Putin has said he "very much hopes" he will not have to send his forces into Ukraine, but he insists he has a "right" to do so.
The ministry said locals had found the attackers' cars containing weapons, satellite maps and business cards belonging to the ultra-nationalist group Right Sector. It demanded Kiev abide by the Geneva accord.
But a Right Sector spokesman told AFP that Russia's claims were "lies" and "propaganda" designed to portray the east as ungovernable for Kiev.
Ukraine's government, confirming three people were killed, described the latest violence as a "cynical provocation" by Russian-armed separatists.