Journalists Kirill Radchenko, Alexander Rastorguyev and Orkhan Dzhemal were killed in the strife-town African country on Monday.
They were reporting on the so-called Wagner Group, a company that sends Russian mercenaries to hotspots such as Syria and Ukraine and has been described as Moscow's shadow army.
"Today the bodies of the three victims were brought to Russia," the Investigative Committee said in a statement.
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It added that the bodies will undergo forensic medical examinations to "establish the cause of death of the Russian citizens".
"Work is continuing to clarify the circumstances of the crime. Friends and other persons that may have any information in connection with the investigation of this crime are being interviewed," the statement said.
The news agency Interfax reported the bodies were brought on an Air France plane to Moscow Sheremyetevo Airport in the early hours of Sunday.
On Friday Russia said the journalists were attacked as they resisted robbers.
They were "attacked by unidentified people with the aim of robbery and were killed while attempting to resist", the foreign ministry said in a statement, citing spokesperson Maria Zakharova.
Moscow also said this week that no sign of torture was found on the bodies.
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Authorities in the Central African Republic said the Russians were shot dead at a roadblock by a nine-man group who did not speak French or Sango, two languages that are nationally used in the CAR.
Those details come from their driver, who was found wounded but survive, the government said.
The three journalists were working for a media project founded by self-exiled Kremlin opponent Mikhail Khodorkovsky, who lives in Britain after spending a decade in prison in Russia.
Russian officials and state media have sought to downplay the journalists' assignment. There has been no official acknowledgement of Wagner's role in conflicts or casualties among its fighters.
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