Sabah Police Commissioner Datuk Hamza Taib said the soldiers were hauled up in Lahad Datu since Wednesday and 13 guns were recovered from them.
They are being remanded until June 4 to facilitate investigations into the shooting and the case is deemed solved with their arrests, he said.
Sabah CID chief SAC Omar Mamah had said that a suspect was arrested earlier.
In the 4.45am incident on Wednesday, a commando was believed to have fired several shots to quell a commotion outside the Gemilang 24-hour convenience store.
Lance Corp Muhamad Fiffixezapey Mat Hussin, 28, who was shot on the left chest succumbed to injuries at the Lahad Datu Hospital.
The two civilians injured were Indonesia nationals aged 31 and 38 who were bouncers at a night club.
Meanwhile, Defence Ministry will leave the case to police as it involved civilians and happened in a public area.
"Leave it to the police to investigate and when there is strong evidence, those involved will be charged. We will wait for the results of the investigations before commenting further.
"I believe police will conduct thorough investigation on what actually happened that morning...now there are only speculations," Deputy Defence Minister Datuk Abdul Rahim Bakri said, after visiting the San Shui National Service Training Programme Camp, Thursday.
He said the Ministry viewed seriously any incident which involves army personnel and will take further action once investigations are completed.
He said they would also improve the Standard Operating Procedure (SOP) for security personnel if any weaknesses are identified as soon as the investigations concerning the Lahad Datu case is completed.
He believed that there are SOPs in weapons handling but there might be possibilities of personnel breaching the SOP.
"If they are off duty, the weapons cannot be simply used, especially for personal interest...however, we will wait for the police investigations before determining this," he said.
He said army chiefs have always reminded their men on the use of weapons but there are bound to be black sheep.