The woman, identified by Colombia's foreign ministry as 56-year-old Gloria Cecilia Narvaez Argoti, a Franciscan nun, was seized by armed men in the Karangasso village close to the Burkina Faso border.
A total of four armed men told those inside the church they were jihadists before taking the Colombian away, a security source said.
Another security source told AFP that two Malian suspects were stopped and taken into custody Wednesday while driving a vehicle belonging to Narvaez's church.
"The abductors initially threw her into the ambulance of the church, which led to their arrest," the source told AFP.
The kidnappers were heading towards Burkina Faso, where authorities were on alert for signs of the gunmen.
The nun was one of four Franciscan nuns living in the village of Karangasso, more than 400 kilometres (250 miles) east of the capital, Bamako, a worker at the church told AFP by telephone.
"She was the only one taken by the armed men," the worker said.
Edmond Dembele, secretary general of the Episcopal Conference of Mali, said bishops were seeking more information about the kidnapping, which took place around 2100 GMT on Tuesday, he told the Vatican's missionary news agency, Fides.
There was no immediate claim of responsibility for the kidnapping, but attacks in the south of Mali by jihadists, a threat that was once confined to the restive north, have become increasingly common.
On Christmas Eve last year a French aid worker, Sophie Petronin, was seized in Gao, in the north.
Last month, Al-Qaeda's affiliate in North Africa released a new proof-of-life video of Swiss missionary Beatrice Stockly, who has been held hostage by the group for more than a year.
The Al-Qaeda in the Islamic Maghreb (AQIM) video showed Stockly, who was captured in the north, saying she was in good health.
The north fell under the control of Tuareg-led rebels and jihadist groups linked to Al-Qaeda in 2012. They were largely ousted by a French-led military operation in January 2013.
But the implementation of a peace accord reached in 2015 has been piecemeal, with insurgents still active across large parts of the nation.
Eyewitness? Submit your stories now via social or:
Email: news@pulselive.co.ke
