The incident took place when unknown militants stopped two buses and kidnapped 35 passengers in Mastung district of the province, Xinhua reported.
Soon after the incident, security forces rushed to the site.
The militants killed 20 of the abducted passengers after security forces chased them and exchanged fire, said Sarfaraz Bugti, interior minister of the province.
He added that security forces rescued six of the abducted passengers and are following the militants to rescue the other passengers.
The buses were headed towards the country's southern port city of Karachi from the provincial capital of Quetta.
Pakistan Prime Minister Nawaz Sharif directed the authorities to rescue the remaining passengers safely.
No group has claimed responsibility for the incident as yet.