The convoy was attacked while returning to Karachi from the Afghan border, which Pakistan shut to Nato supplies on November 26 after Nato air strikes killed 24 Pakistani soldiers.
The gunmen attacked in the town of Dadar in Bolan district, about 90 kilometres (56 miles) southwest of Quetta, police said.
"Around eight gunmen approached the convoy on motorcycles in Bolan district, ordered it to stop and started firing on the tankers," senior local police official Inayat Bugti told AFP.
"A driver of one of the tankers was also hit by a bullet and was killed instantly. The attackers later put the tankers on fire and escaped," he said.
No group has so far claimed responsibility for the attack but the Taliban have in the past said they carried out such attacks to disrupt supplies for the 140,000 US-led international troops fighting in Afghanistan.
Last Thursday, gunmen destroyed at least 34 trucks in a gun and rocket attack at a temporary Nato trucking terminal in Quetta.
The November 26 strikes brought fragile Pakistani-US ties to a fresh low.
On Sunday, Pakistani officials said US personnel had left the Shamsi air base in Balochistan, which they were ordered to vacate after the strikes.
The air base was widely reported to have been a hub for a covert CIA drone war targeting Taliban and al Qaeda fighters on Pakistani soil.
Pakistan's blockade of the border, a vital US supply line into Afghanistan, entered a 17th day on Monday, its longest closure of the 10-year war with no imminent sign of the border reopening.
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Aren't the police the ones who are supposed to be talking to witnesses rather than being mere witnesses themselves?