The checkpoint was set up along the main highway connecting Iraq to Saudi Arabia, with the attack taking place near the town of Nukhaib.
At about 11:00 am (0800 GMT), the men were travelling along the highway in three unmarked cars to begin their shifts at various checkpoints, Major General Yasir Assem from the border guards said.
They were stopped at the fake checkpoint and gunned down, and two of their bodies set on fire.
Nukhaib is in Anbar province, but is part of a tract of land claimed by neighbouring Karbala province.
It was the site of a brutal attack in September 2011 that sent tensions soaring between the two provinces. Militants killed 22 Shiite pilgrims from Karbala aboard a bus bound for Syria.
Anbar province has long been a stronghold of Sunni militants, including those linked to Al-Qaeda.
Many tribal militias turned against Al-Qaeda and joined forces with the US military from late-2006, but they have failed to completely eliminate such attacks, which often target the security forces in a bid to undermine confidence in the authorities.
