The ethnic Hazaras were kidnapped on Wednesday in the restive province of Ghazni after they travelled out of their home district to shop for cattle.
"Their bodies were found today afternoon in Malistan district. All five were beheaded," district governor Ramin Ali Hedayat told AFP, claiming that insurgents linked to the Islamic State group were behind the killings.
But Ghazni's deputy governor laid blame on the Taliban, saying the group that has been waging a 13-year war against US and Afghan forces were seeking the release of their fighters held by the government.
No group has so far claimed responsibility for the beheadings, which come after the high-profile abduction of 31 Hazaras in southern Afghanistan in February, whose whereabouts are still unknown.
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Those kidnappings triggered speculation that the men had been seized by Afghan insurgents who have pledged allegiance to IS.
The Taliban have seen defections to IS in recent months, with some insurgents voicing their disaffection with their one-eyed supreme leader Mullah Omar, who has not been seen since the 2001 US-led invasion of Afghanistan.