"The four members of this group who were arrested attempted to enter Sistan-Balochistan carrying explosive vests," the southeastern province's justice chief Ebrahim Hamidi told the website.
They now face "charges of espionage as well as cooperation with anti-revolutionary elements," Hamidi said.
In recent years, Jundallah has claimed a series of deadly attacks in Sistan-Balochistan and adjacent provinces near the border with Afghanistan and Pakistan.
In December, it claimed an attack by multiple suicide bombers that killed 39 people in the city of Chabahar.
The group says it is fighting for the rights of the province's significant Sunni ethnic Balochi community, who complain of discrimination in Shia-dominated Iran.
Iranian officials charge that the group has received support from Western governments, as well as Israel and Pakistan.
A year ago, Iran hanged the group's leader, Abdolmalek Rigi, after capturing him on an intercepted flight.
Washington has now blacklisted Jundallah as a foreign terrorist organisation, in a move cautiously welcomed by Tehran.
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