The peacekeepers went missing on Sunday and have now been confirmed as abducted, a spokesman for Unamid, Noureddine Mezni, said.
The four, who are South African police advisers, were last seen leaving their base near Nyala on Sunday.
It is not clear who carried out the kidnapping, Noureddine Mezni said.
The peacekeepers were seized with the vehicle near Nyala, the capital of South Darfur province, he added.
A civil war has pushed about three million people into refugee camps in Darfur and the region is prone to lawlessness and banditry.
A number of expatriates, including aid workers and Unamid officials, have been kidnapped by armed groups demanding ransom.
Source: BBC