They were freed later on Tuesday night pending a report being submitted to the Public Prosecution Service.
Another man aged 26 years old who was arrested on Tuesday, March 15, remains in police custody at this time.
All six were detained under Section 41 of the Terrorism Act and taken to the serious crime custody suite at Musgrave police station in Belfast for questioning.
The investigation remains ongoing.
Ms McKee was shot dead on Thursday, April 18, 2019 while observing rioting in Creggan’s Fanad Drive.
A teenage New IRA gunman fired the fatal shot which struck the 29-year-old to the head while standing beside a PSNI landrover.
The gunman later fled Derry and was holed up in Donegal for a period before returning home to become a father for the first time.
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