Shurpayev, a reporter from Russia's volatile North Caucasus republic of Daghestan who worked for Russia's state Channel One, was found stabbed and strangled in his rented Moscow apartment on March 21.
Colonel Khaidar Makhmadiyev said officers from the Moscow criminal investigation department "arrived in Dushanbe yesterday, and gave us pointers to find these people."
The names of the suspects and the circumstances of their arrest remain confidential while the investigation is ongoing, he said. The hunt for a third suspect in the Central Asian country is underway.
Makhmadiyev said that as the suspects are Tajik nationals, they will not be extradited to Russia.
On the same day that Shurpayev's body was found, Gadzhi Abashilov, the head of Daghestan's state-run television station, was killed when unidentified gunmen opened fire on his car.
Investigators have linked Abashilov's murder to his professional activities, but the motivation behind Shurpayev's murder remains uncertain.